Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LIG디펜스앤에어로스페이스 backtest
10 trend-following strategies were compared on the full daily history of LIG디펜스앤에어로스페이스. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 31.6%, MDD -42.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 23.2%, drawdown -87.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.6%, MDD -42.2%, Sharpe 0.86, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 31.6%, 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 |
31.6% | -42.2% | 0.86 | 0.75 | 19.5x | 7 | 50% |
| EMA 크로스오버 fast=77, slow=186 |
27.8% | -42.2% | 0.79 | 0.66 | 14.2x | 9 | 51% |
| Parabolic SAR step=0.02, maxStep=0.18 |
23.5% | -49.8% | 0.75 | 0.47 | 9.8x | 214 | 49% |
| Supertrend period=24, mult=1.3 |
19.7% | -57.7% | 0.68 | 0.34 | 7.0x | 198 | 46% |
| Donchian 채널 돌파 entryN=99, exitN=76 |
20.4% | -46.5% | 0.66 | 0.44 | 7.5x | 10 | 45% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=11, mult=0.7 |
17.4% | -49.9% | 0.63 | 0.35 | 5.7x | 176 | 39% |
| MACD fast=10, slow=55, signal=15 |
17.4% | -55.9% | 0.62 | 0.31 | 5.7x | 146 | 47% |
| ROC 모멘텀 n=95, threshold=0.05 |
14.6% | -52.8% | 0.54 | 0.28 | 4.4x | 94 | 50% |
| ADX / DI 방향성 period=13, threshold=13 |
13.2% | -67.8% | 0.51 | 0.19 | 3.8x | 190 | 53% |
| 볼린저 밴드 돌파 n=21, k=1.1 |
11.8% | -62.7% | 0.49 | 0.19 | 3.3x | 142 | 41% |
| Buy and hold | 23.2% | -87.4% | 0.66 | 0.27 | 9.6x | 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