Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LG생활건강 backtest
10 trend-following strategies were compared on the full daily history of LG생활건강. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.9%, MDD -57.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -87.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.9%, MDD -57.8%, Sharpe 0.51, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 30.1%p (CAGR 10.9%, MDD -57.8%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=51, slow=168 |
10.9% | -57.8% | 0.51 | 0.19 | 13.7x | 30 | 58% |
| SMA 크로스오버 fast=47, slow=216 |
10.1% | -66.3% | 0.50 | 0.15 | 11.4x | 28 | 57% |
| ROC 모멘텀 n=123, threshold=-0.01 |
7.7% | -72.9% | 0.40 | 0.11 | 6.5x | 187 | 60% |
| Donchian 채널 돌파 entryN=112, exitN=72 |
6.4% | -58.3% | 0.37 | 0.11 | 4.8x | 33 | 47% |
| ADX / DI 방향성 period=35, threshold=39 |
0.6% | -5.8% | 0.29 | 0.10 | 1.2x | 4 | 0% |
| Supertrend period=11, mult=5 |
4.1% | -73.1% | 0.29 | 0.06 | 2.8x | 67 | 62% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
2.7% | -43.6% | 0.24 | 0.06 | 2.0x | 57 | 23% |
| Parabolic SAR step=0.005, maxStep=0.42 |
0.7% | -74.1% | 0.16 | 0.01 | 1.2x | 203 | 53% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=3.5 |
0.1% | -30.2% | 0.05 | 0.00 | 1.0x | 28 | 4% |
| MACD fast=16, slow=29, signal=12 |
-5.5% | -90.4% | -0.09 | -0.06 | 0.2x | 391 | 50% |
| Buy and hold | 12.8% | -87.9% | 0.51 | 0.15 | 20.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 51-day EMA crosses above the 168-day EMA
- Sell — Sell when the 51-day EMA falls below the 168-day EMA