Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LIG디펜스앤에어로스페이스 backtest
10 trend-following strategies were compared on the full daily history of LIG디펜스앤에어로스페이스. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 31.2%, MDD -42.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 22.9%, drawdown -87.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.2%, MDD -42.2%, Sharpe 0.85, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 31.2%, MDD -42.2%, exposure 50%).
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=56, slow=272 |
31.2% | -42.2% | 0.85 | 0.74 | 19.3x | 7 | 50% |
| EMA 크로스오버 fast=77, slow=186 |
27.5% | -42.2% | 0.78 | 0.65 | 14.1x | 9 | 52% |
| Parabolic SAR step=0.02, maxStep=0.18 |
21.6% | -49.8% | 0.71 | 0.43 | 8.4x | 216 | 49% |
| Donchian 채널 돌파 entryN=99, exitN=76 |
20.3% | -46.5% | 0.66 | 0.44 | 7.5x | 10 | 45% |
| Supertrend period=24, mult=1.3 |
16.1% | -57.7% | 0.59 | 0.28 | 5.1x | 202 | 46% |
| MACD fast=10, slow=55, signal=15 |
15.9% | -55.9% | 0.58 | 0.29 | 5.0x | 148 | 47% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=11, mult=0.7 |
13.8% | -49.9% | 0.54 | 0.28 | 4.1x | 180 | 39% |
| ROC 모멘텀 n=95, threshold=0.05 |
13.6% | -52.8% | 0.52 | 0.26 | 4.0x | 98 | 50% |
| ADX / DI 방향성 period=13, threshold=13 |
10.7% | -67.8% | 0.45 | 0.16 | 3.0x | 194 | 53% |
| 볼린저 밴드 돌파 n=21, k=1.1 |
8.5% | -62.7% | 0.40 | 0.13 | 2.4x | 146 | 41% |
| Buy and hold | 22.9% | -87.4% | 0.66 | 0.26 | 9.5x | 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 56-day average price crosses above the 272-day average
- Sell — Sell (to cash) when the 56-day average falls below the 272-day average