Trend-Following Backtester · Guide · backtest 한국어
equity · US
Louisiana-Pacific Corporation backtest
10 trend-following strategies were compared on the full daily history of Louisiana-Pacific Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -97.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.1%, MDD -91.8%, Sharpe 0.29, 80% 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=12, exitN=55 |
4.1% | -91.8% | 0.29 | 0.04 | 6.5x | 189 | 80% |
| Supertrend period=27, mult=4.6 |
2.9% | -80.7% | 0.24 | 0.04 | 3.8x | 176 | 50% |
| SMA 크로스오버 fast=23, slow=133 |
2.7% | -75.5% | 0.24 | 0.04 | 3.4x | 128 | 54% |
| EMA 크로스오버 fast=25, slow=211 |
2.1% | -80.5% | 0.21 | 0.03 | 2.7x | 92 | 52% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
0.5% | -14.0% | 0.20 | 0.04 | 1.3x | 8 | 1% |
| ROC 모멘텀 n=95, threshold=0.11 |
1.3% | -71.7% | 0.17 | 0.02 | 1.8x | 472 | 34% |
| ADX / DI 방향성 period=35, threshold=25 |
1.2% | -42.6% | 0.17 | 0.03 | 1.7x | 42 | 6% |
| MACD fast=10, slow=53, signal=20 |
-1.8% | -93.4% | 0.09 | -0.02 | 0.4x | 634 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=3.1 |
-0.5% | -70.7% | 0.08 | -0.01 | 0.8x | 182 | 29% |
| Parabolic SAR step=0.035, maxStep=0.2 |
-6.8% | -98.3% | -0.09 | -0.07 | 0.0x | 1321 | 52% |
| Buy and hold | 5.1% | -97.4% | 0.33 | 0.05 | 10.2x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 55 days