Trend-Following Backtester · Guide · backtest 한국어
equity · US
LPL Financial Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of LPL Financial Holdings Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.2%, MDD -42.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.5%, drawdown -70.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.2%, MDD -42.4%, Sharpe 0.66, 90% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 28.1%p (CAGR 16.2%, MDD -42.4%, exposure 90%).
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=8, exitN=76 |
16.2% | -42.4% | 0.66 | 0.38 | 10.6x | 41 | 90% |
| ADX / DI 방향성 period=28, threshold=25 |
4.3% | -18.4% | 0.62 | 0.24 | 1.9x | 10 | 7% |
| MACD fast=6, slow=52, signal=19 |
10.8% | -33.1% | 0.57 | 0.33 | 5.0x | 245 | 50% |
| EMA 크로스오버 fast=6, slow=217 |
11.8% | -36.4% | 0.56 | 0.32 | 5.7x | 45 | 69% |
| SMA 크로스오버 fast=13, slow=184 |
11.1% | -47.9% | 0.54 | 0.23 | 5.2x | 35 | 66% |
| ROC 모멘텀 n=130, threshold=-0.04 |
9.5% | -41.8% | 0.48 | 0.23 | 4.2x | 90 | 69% |
| Supertrend period=9, mult=2.3 |
8.1% | -50.0% | 0.47 | 0.16 | 3.4x | 153 | 55% |
| 볼린저 밴드 돌파 n=59, k=1 |
7.7% | -46.1% | 0.46 | 0.17 | 3.2x | 93 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=12, mult=3.5 |
5.1% | -39.3% | 0.39 | 0.13 | 2.2x | 47 | 31% |
| Parabolic SAR step=0.015, maxStep=0.18 |
4.2% | -44.1% | 0.29 | 0.10 | 1.9x | 287 | 54% |
| Buy and hold | 16.5% | -70.5% | 0.61 | 0.23 | 10.9x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 76 days