Trend-Following Backtester · Guide · backtest 한국어
equity · US
LSI Industries Inc. backtest
10 trend-following strategies were compared on the full daily history of LSI Industries Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -89.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -28.7%, Sharpe 0.34, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.4%, MDD -82.0%, exposure 57%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=28, threshold=34 |
3.2% | -28.7% | 0.34 | 0.11 | 3.7x | 30 | 7% |
| SMA 크로스오버 fast=49, slow=320 |
5.4% | -82.0% | 0.33 | 0.07 | 8.9x | 39 | 57% |
| Donchian 채널 돌파 entryN=5, exitN=44 |
2.1% | -96.5% | 0.27 | 0.02 | 2.4x | 235 | 85% |
| EMA 크로스오버 fast=58, slow=135 |
3.1% | -88.1% | 0.26 | 0.04 | 3.6x | 61 | 57% |
| Supertrend period=19, mult=2.3 |
0.6% | -93.3% | 0.19 | 0.01 | 1.3x | 344 | 54% |
| 볼린저 밴드 돌파 n=24, k=2.9 |
1.9% | -52.0% | 0.19 | 0.04 | 2.1x | 138 | 16% |
| Parabolic SAR step=0.02, maxStep=0.14 |
0.5% | -98.6% | 0.19 | 0.01 | 1.2x | 760 | 50% |
| ROC 모멘텀 n=128, threshold=-0.08 |
-3.1% | -96.4% | 0.10 | -0.03 | 0.3x | 397 | 66% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=24, mult=2.7 |
-1.5% | -77.5% | 0.04 | -0.02 | 0.5x | 158 | 27% |
| MACD fast=18, slow=59, signal=24 |
-6.3% | -98.1% | -0.01 | -0.06 | 0.1x | 386 | 50% |
| Buy and hold | 5.5% | -89.0% | 0.36 | 0.06 | 9.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 28-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)