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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 16.4%, MDD -42.4%).

Data 2010-11-18 ~ 2026-08-31daily bars 3,968 (15.8 years)Costs 0.5%Venue XNASMonthly snapshot 2026-08-31

Results by strategy

0 of 10 beat buy and hold (CAGR 16.7%, drawdown -70.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.4%, 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 16.4%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=8, exitN=76
16.4%-42.4%0.660.3911.1x4190%
ADX / DI 방향성
period=28, threshold=25
4.3%-18.4%0.620.231.9x107%
EMA 크로스오버
fast=6, slow=217
12.0%-36.4%0.570.336.0x4569%
MACD
fast=6, slow=52, signal=19
10.7%-33.1%0.570.325.0x24650%
SMA 크로스오버
fast=13, slow=184
11.4%-47.9%0.550.245.5x3566%
ROC 모멘텀
n=130, threshold=-0.04
9.5%-43.3%0.480.224.2x9569%
Supertrend
period=9, mult=2.3
8.4%-50.0%0.480.173.6x15355%
볼린저 밴드 돌파
n=59, k=1
7.9%-46.1%0.480.173.3x9352%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=12, mult=3.5
5.4%-39.3%0.410.142.3x4731%
Parabolic SAR
step=0.015, maxStep=0.18
4.4%-44.1%0.300.102.0x28954%
Buy and hold16.7%-70.5%0.610.2411.5x1100%
1x 10x 2011 2013 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -35% -53% -70% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -42.4% (2012-04-03 → 2012-11-15), recovered after 615 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore US assetsAll asset reports

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