Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LG화학우 backtest
10 trend-following strategies were compared on the full daily history of LG화학우. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.3%, MDD -42.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.5%, drawdown -81.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.7%, MDD -47.2%, Sharpe 0.59, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 10.3%, MDD -42.3%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=63, exitN=50 |
12.7% | -47.2% | 0.59 | 0.27 | 12.1x | 36 | 47% |
| 볼린저 밴드 돌파 n=24, k=2.2 |
10.3% | -42.3% | 0.58 | 0.24 | 7.7x | 124 | 25% |
| Supertrend period=35, mult=3.1 |
10.2% | -61.9% | 0.50 | 0.16 | 7.5x | 136 | 48% |
| ROC 모멘텀 n=91, threshold=-0.03 |
10.1% | -49.9% | 0.48 | 0.20 | 7.4x | 166 | 56% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=14, mult=2.2 |
7.7% | -43.9% | 0.45 | 0.18 | 4.7x | 108 | 29% |
| SMA 크로스오버 fast=45, slow=178 |
8.9% | -67.3% | 0.44 | 0.13 | 5.9x | 28 | 53% |
| EMA 크로스오버 fast=18, slow=140 |
7.3% | -68.3% | 0.39 | 0.11 | 4.3x | 56 | 50% |
| MACD fast=14, slow=28, signal=14 |
7.0% | -70.2% | 0.39 | 0.10 | 4.1x | 289 | 52% |
| Parabolic SAR step=0.005, maxStep=0.24 |
5.5% | -71.1% | 0.33 | 0.08 | 3.1x | 168 | 48% |
| ADX / DI 방향성 period=37, threshold=18 |
4.0% | -56.2% | 0.31 | 0.07 | 2.3x | 60 | 19% |
| Buy and hold | 6.5% | -81.7% | 0.36 | 0.08 | 3.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 63 days
- Sell — Sell when price breaks below the lowest low of the last 50 days