Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LG화학 backtest
10 trend-following strategies were compared on the full daily history of LG화학. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.1%, MDD -53.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.5%, drawdown -82.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -53.6%, Sharpe 0.58, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 14.1%, MDD -53.6%, exposure 53%).
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=27, slow=86 |
14.1% | -53.6% | 0.58 | 0.26 | 27.9x | 68 | 53% |
| ROC 모멘텀 n=73, threshold=0.02 |
11.2% | -54.1% | 0.50 | 0.21 | 14.7x | 236 | 51% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
9.2% | -54.9% | 0.46 | 0.17 | 9.3x | 104 | 38% |
| Donchian 채널 돌파 entryN=37, exitN=27 |
9.6% | -63.0% | 0.46 | 0.15 | 10.0x | 92 | 46% |
| EMA 크로스오버 fast=51, slow=69 |
10.1% | -74.6% | 0.46 | 0.14 | 11.3x | 62 | 56% |
| Supertrend period=4, mult=5 |
9.5% | -80.8% | 0.44 | 0.12 | 9.8x | 78 | 57% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=8, mult=2 |
7.8% | -65.3% | 0.41 | 0.12 | 6.6x | 118 | 39% |
| ADX / DI 방향성 period=31, threshold=20 |
5.4% | -40.2% | 0.38 | 0.13 | 3.8x | 46 | 14% |
| Parabolic SAR step=0.005, maxStep=0.42 |
3.4% | -61.2% | 0.26 | 0.06 | 2.3x | 210 | 49% |
| MACD fast=18, slow=37, signal=10 |
0.2% | -72.4% | 0.16 | 0.00 | 1.1x | 369 | 51% |
| Buy and hold | 12.5% | -82.3% | 0.49 | 0.15 | 19.7x | 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 27-day average price crosses above the 86-day average
- Sell — Sell (to cash) when the 27-day average falls below the 86-day average