Trend-Following Backtester · Guide · backtest 한국어

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엘앤에프 backtest

10 trend-following strategies were compared on the full daily history of 엘앤에프. 7 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%).

Data 2003-01-02 ~ 2026-07-31daily bars 5,862 (23.6 years)Costs 0.5%Venue XKRXMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 15.7%, drawdown -88.5%).

Sharpe leader (same as main): MACD — CAGR 22.8%, MDD -75.0%, Sharpe 0.70, 51% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.0%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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
MACD
fast=5, slow=45, signal=14
22.8%-75.0%0.700.30126.5x46051%
볼린저 밴드 돌파
n=28, k=0.9
21.4%-66.6%0.690.3296.4x24442%
Donchian 채널 돌파
entryN=81, exitN=29
18.3%-57.9%0.650.3252.9x5033%
SMA 크로스오버
fast=44, slow=183
19.2%-81.1%0.620.2462.7x3450%
Supertrend
period=17, mult=1.9
18.5%-86.8%0.620.2154.6x28049%
Keltner 채널 돌파
emaPeriod=25, atrPeriod=19, mult=1.2
17.0%-64.1%0.610.2640.2x22837%
ROC 모멘텀
n=54, threshold=0.13
15.5%-64.9%0.570.2429.9x21835%
EMA 크로스오버
fast=47, slow=120
15.9%-84.7%0.550.1932.3x4050%
Parabolic SAR
step=0.015, maxStep=0.12
15.4%-88.5%0.550.1729.2x38251%
ADX / DI 방향성
period=15, threshold=14
14.4%-79.5%0.530.1823.8x39650%
Buy and hold15.7%-88.5%0.540.1831.4x1100%
1x 10x 100x 2004 2007 2010 2013 2016 2019 2022 2025 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -66% -89% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdMACD
MACD maximum drawdown -75.0% (2023-04-05 → 2025-06-30), prior peak not yet recovered.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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