Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LS에코에너지 backtest
10 trend-following strategies were compared on the full daily history of LS에코에너지. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 21.6%, drawdown -63.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.0%, MDD -59.6%, Sharpe 0.63, 94% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=5, exitN=86 |
22.0% | -59.6% | 0.63 | 0.37 | 7.2x | 19 | 94% |
| MACD fast=18, slow=56, signal=17 |
17.0% | -53.7% | 0.57 | 0.32 | 4.7x | 103 | 50% |
| EMA 크로스오버 fast=50, slow=185 |
15.6% | -63.5% | 0.54 | 0.25 | 4.2x | 12 | 62% |
| Supertrend period=28, mult=3.5 |
13.3% | -58.1% | 0.50 | 0.23 | 3.4x | 46 | 49% |
| SMA 크로스오버 fast=26, slow=179 |
13.5% | -59.7% | 0.50 | 0.23 | 3.5x | 22 | 58% |
| 볼린저 밴드 돌파 n=37, k=1.4 |
12.4% | -49.8% | 0.48 | 0.25 | 3.2x | 72 | 36% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=19, mult=2.7 |
10.4% | -48.2% | 0.45 | 0.22 | 2.7x | 20 | 9% |
| ADX / DI 방향성 period=17, threshold=26 |
10.8% | -55.1% | 0.45 | 0.20 | 2.8x | 44 | 29% |
| ROC 모멘텀 n=46, threshold=-0.04 |
8.0% | -62.4% | 0.40 | 0.13 | 2.2x | 166 | 68% |
| Parabolic SAR step=0.045, maxStep=0.06 |
4.6% | -67.2% | 0.31 | 0.07 | 1.6x | 176 | 46% |
| Buy and hold | 21.6% | -63.5% | 0.63 | 0.34 | 7.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 5 days
- Sell — Sell when price breaks below the lowest low of the last 86 days