Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LG전자 backtest
10 trend-following strategies were compared on the full daily history of LG전자. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.6%, MDD -57.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.7%, drawdown -75.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -65.7%, Sharpe 0.49, 48% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 9.6%p (CAGR 6.6%, MDD -57.6%, exposure 48%).
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=19, slow=175 |
10.9% | -65.7% | 0.49 | 0.17 | 12.5x | 43 | 48% |
| EMA 크로스오버 fast=53, slow=72 |
10.5% | -62.3% | 0.47 | 0.17 | 11.5x | 47 | 49% |
| Donchian 채널 돌파 entryN=51, exitN=79 |
9.5% | -62.3% | 0.44 | 0.15 | 9.1x | 41 | 57% |
| 볼린저 밴드 돌파 n=46, k=0.6 |
7.5% | -63.3% | 0.39 | 0.12 | 5.8x | 211 | 45% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=1.1 |
7.3% | -61.2% | 0.39 | 0.12 | 5.6x | 177 | 43% |
| ADX / DI 방향성 period=42, threshold=11 |
7.2% | -64.6% | 0.38 | 0.11 | 5.5x | 151 | 37% |
| ROC 모멘텀 n=109, threshold=-0.02 |
7.3% | -62.3% | 0.38 | 0.12 | 5.6x | 181 | 52% |
| Supertrend period=27, mult=4.4 |
6.6% | -57.6% | 0.36 | 0.11 | 4.7x | 92 | 48% |
| MACD fast=15, slow=39, signal=24 |
4.7% | -80.3% | 0.30 | 0.06 | 3.1x | 257 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.3% | -71.4% | 0.19 | 0.02 | 1.4x | 209 | 49% |
| Buy and hold | 5.7% | -75.3% | 0.34 | 0.08 | 3.9x | 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 19-day average price crosses above the 175-day average
- Sell — Sell (to cash) when the 19-day average falls below the 175-day average