Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LG유플러스 backtest
10 trend-following strategies were compared on the full daily history of LG유플러스. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR -0.9%, drawdown -91.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -5.0%, MDD -90.7%, Sharpe 0.47, 46% exposure.
CAGR reference leader: MACD — CAGR 2.1%, MDD -98.6%, exposure 52%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=60, slow=212 |
-5.0% | -90.7% | 0.47 | -0.06 | 0.3x | 34 | 46% |
| Donchian 채널 돌파 entryN=1, exitN=55 |
-22.4% | -100.0% | 0.47 | -0.22 | 0.0x | 219 | 93% |
| MACD fast=7, slow=31, signal=10 |
2.1% | -98.6% | 0.47 | 0.02 | 1.7x | 531 | 52% |
| EMA 크로스오버 fast=72, slow=214 |
-18.2% | -99.8% | 0.35 | -0.18 | 0.0x | 31 | 44% |
| ROC 모멘텀 n=7, threshold=-0.05 |
-23.1% | -100.0% | 0.34 | -0.23 | 0.0x | 661 | 83% |
| Parabolic SAR step=0.05, maxStep=0.4 |
-34.3% | -100.0% | 0.15 | -0.34 | 0.0x | 869 | 49% |
| 볼린저 밴드 돌파 n=22, k=2.6 |
-10.8% | -99.9% | 0.12 | -0.11 | 0.1x | 104 | 15% |
| ADX / DI 방향성 period=6, threshold=19 |
-51.3% | -100.0% | -0.18 | -0.51 | 0.0x | 829 | 47% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=19, mult=1.7 |
-30.2% | -100.0% | -0.22 | -0.30 | 0.0x | 190 | 15% |
| Supertrend period=9, mult=3.9 |
-55.1% | -100.0% | -0.22 | -0.55 | 0.0x | 154 | 51% |
| Buy and hold | -0.9% | -91.4% | 0.64 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 60-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 60-day average falls below the 212-day average