Trend-Following Backtester · Guide · backtest 한국어
equity · US
LSB Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of LSB Industries, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.6%, MDD -73.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.4%, drawdown -97.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -93.0%, Sharpe 0.42, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 4.8%p (CAGR 3.6%, MDD -73.8%, exposure 13%).
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=26, slow=67 |
8.8% | -93.0% | 0.42 | 0.09 | 50.2x | 196 | 49% |
| Donchian 채널 돌파 entryN=66, exitN=79 |
6.4% | -92.2% | 0.38 | 0.07 | 17.7x | 82 | 54% |
| EMA 크로스오버 fast=30, slow=92 |
5.7% | -94.8% | 0.35 | 0.06 | 13.4x | 118 | 48% |
| Parabolic SAR step=0.005, maxStep=0.1 |
4.6% | -93.4% | 0.34 | 0.05 | 8.3x | 314 | 49% |
| 볼린저 밴드 돌파 n=42, k=3.3 |
3.6% | -73.8% | 0.26 | 0.05 | 5.3x | 78 | 13% |
| Supertrend period=14, mult=5 |
-1.7% | -98.9% | 0.23 | -0.02 | 0.4x | 174 | 54% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=3 |
2.0% | -94.4% | 0.23 | 0.02 | 2.5x | 164 | 26% |
| ADX / DI 방향성 period=31, threshold=13 |
-4.2% | -98.1% | 0.18 | -0.04 | 0.1x | 412 | 37% |
| ROC 모멘텀 n=102, threshold=-0.04 |
-4.0% | -99.4% | 0.16 | -0.04 | 0.2x | 480 | 54% |
| MACD fast=24, slow=31, signal=16 |
-9.5% | -100.0% | 0.10 | -0.09 | 0.0x | 591 | 50% |
| Buy and hold | 3.4% | -97.8% | 0.44 | 0.03 | 4.7x | 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 26-day average price crosses above the 67-day average
- Sell — Sell (to cash) when the 26-day average falls below the 67-day average