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 ADX / DI 방향성 (CAGR 9.3%, MDD -64.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.1%, drawdown -97.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -91.9%, Sharpe 0.43, 49% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 9.3%, MDD -64.9%, exposure 19%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 6.0%p (CAGR 9.3%, MDD -64.9%, exposure 19%).
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=25, slow=94 |
9.1% | -91.9% | 0.43 | 0.10 | 58.7x | 136 | 49% |
| ADX / DI 방향성 period=66, threshold=15 |
9.3% | -64.9% | 0.41 | 0.14 | 64.3x | 62 | 19% |
| Donchian 채널 돌파 entryN=64, exitN=79 |
6.0% | -92.2% | 0.38 | 0.06 | 15.1x | 84 | 54% |
| EMA 크로스오버 fast=29, slow=97 |
5.2% | -94.0% | 0.34 | 0.06 | 10.9x | 118 | 48% |
| Parabolic SAR step=0.005, maxStep=0.1 |
4.3% | -93.4% | 0.34 | 0.05 | 7.2x | 316 | 49% |
| 볼린저 밴드 돌파 n=47, k=2 |
2.5% | -94.9% | 0.25 | 0.03 | 3.2x | 198 | 30% |
| Supertrend period=18, mult=3.4 |
-1.2% | -99.5% | 0.24 | -0.01 | 0.6x | 312 | 50% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=10, mult=4 |
2.7% | -82.5% | 0.23 | 0.03 | 3.4x | 104 | 18% |
| ROC 모멘텀 n=145, threshold=0.12 |
1.3% | -97.9% | 0.23 | 0.01 | 1.8x | 372 | 37% |
| MACD fast=19, slow=39, signal=22 |
-8.8% | -99.9% | 0.11 | -0.09 | 0.0x | 558 | 50% |
| Buy and hold | 3.1% | -97.8% | 0.43 | 0.03 | 4.2x | 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 25-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 25-day average falls below the 94-day average