Trend-Following Backtester · Guide · backtest 한국어
equity · US
LCI Industries backtest
10 trend-following strategies were compared on the full daily history of LCI Industries. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.8%, MDD -47.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.1%, drawdown -94.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -78.2%, Sharpe 0.49, 58% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 7.8%, MDD -47.8%, exposure 24%).
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=50, slow=148 |
12.9% | -78.2% | 0.49 | 0.17 | 149.9x | 70 | 58% |
| EMA 크로스오버 fast=19, slow=103 |
10.1% | -72.3% | 0.44 | 0.14 | 53.2x | 108 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=4 |
7.8% | -47.8% | 0.41 | 0.16 | 21.8x | 88 | 24% |
| ADX / DI 방향성 period=35, threshold=26 |
5.9% | -64.8% | 0.33 | 0.09 | 10.5x | 58 | 17% |
| Donchian 채널 돌파 entryN=135, exitN=50 |
5.5% | -75.7% | 0.33 | 0.07 | 9.1x | 72 | 37% |
| ROC 모멘텀 n=182, threshold=0.04 |
2.9% | -89.7% | 0.26 | 0.03 | 3.3x | 260 | 52% |
| Supertrend period=20, mult=5 |
-1.6% | -99.3% | 0.25 | -0.02 | 0.5x | 156 | 61% |
| MACD fast=35, slow=39, signal=31 |
-1.3% | -91.9% | 0.22 | -0.01 | 0.6x | 321 | 51% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-1.7% | -95.8% | 0.20 | -0.02 | 0.5x | 480 | 53% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
1.2% | -89.0% | 0.17 | 0.01 | 1.6x | 62 | 16% |
| Buy and hold | 9.1% | -94.0% | 0.47 | 0.10 | 36.2x | 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 50-day average price crosses above the 148-day average
- Sell — Sell (to cash) when the 50-day average falls below the 148-day average