Trend-Following Backtester · Guide · backtest 한국어
equity · KR
엘앤에프 backtest
10 trend-following strategies were compared on the full daily history of 엘앤에프. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.3%, MDD -57.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 19.1%, drawdown -88.5%).
Sharpe leader (same as main): MACD — CAGR 26.0%, MDD -75.0%, Sharpe 0.76, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 13.5%p (CAGR 18.3%, MDD -57.9%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=5, slow=45, signal=14 |
26.0% | -75.0% | 0.76 | 0.35 | 238.3x | 461 | 51% |
| 볼린저 밴드 돌파 n=28, k=0.9 |
23.2% | -66.6% | 0.73 | 0.35 | 139.3x | 245 | 42% |
| Supertrend period=17, mult=1.9 |
20.9% | -86.8% | 0.66 | 0.24 | 88.4x | 281 | 49% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=19, mult=1.2 |
18.7% | -64.1% | 0.65 | 0.29 | 58.1x | 229 | 37% |
| Donchian 채널 돌파 entryN=81, exitN=29 |
18.3% | -57.9% | 0.65 | 0.32 | 52.9x | 50 | 33% |
| SMA 크로스오버 fast=44, slow=183 |
19.1% | -81.1% | 0.62 | 0.24 | 62.7x | 34 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
18.3% | -88.5% | 0.61 | 0.21 | 53.5x | 383 | 51% |
| ADX / DI 방향성 period=15, threshold=14 |
16.7% | -79.5% | 0.58 | 0.21 | 38.6x | 397 | 50% |
| ROC 모멘텀 n=54, threshold=0.13 |
15.4% | -64.9% | 0.57 | 0.24 | 29.9x | 218 | 34% |
| EMA 크로스오버 fast=47, slow=120 |
15.8% | -84.7% | 0.55 | 0.19 | 32.3x | 40 | 50% |
| Buy and hold | 19.1% | -88.5% | 0.59 | 0.22 | 62.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (5/45) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line