Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Lily Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Lily Group Co. Ltd. Class A. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.8%, MDD -47.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 18.4%, drawdown -72.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.8%, MDD -47.4%, Sharpe 0.71, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 20.8%, MDD -47.4%, exposure 50%).
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=77, slow=257 |
20.8% | -47.4% | 0.71 | 0.44 | 6.2x | 11 | 50% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=21, mult=4 |
11.7% | -30.8% | 0.68 | 0.38 | 2.9x | 8 | 3% |
| EMA 크로스오버 fast=96, slow=274 |
17.1% | -55.5% | 0.64 | 0.31 | 4.6x | 7 | 42% |
| ROC 모멘텀 n=132, threshold=0 |
15.6% | -60.9% | 0.58 | 0.26 | 4.0x | 77 | 51% |
| Supertrend period=19, mult=3.8 |
15.0% | -46.2% | 0.58 | 0.32 | 3.8x | 42 | 45% |
| 볼린저 밴드 돌파 n=14, k=2.3 |
11.5% | -46.1% | 0.54 | 0.25 | 2.8x | 70 | 18% |
| Parabolic SAR step=0.045, maxStep=0.22 |
11.0% | -68.3% | 0.48 | 0.16 | 2.7x | 306 | 49% |
| MACD fast=14, slow=28, signal=17 |
8.9% | -61.4% | 0.42 | 0.15 | 2.3x | 126 | 53% |
| Donchian 채널 돌파 entryN=48, exitN=77 |
7.3% | -68.6% | 0.38 | 0.11 | 2.0x | 15 | 62% |
| ADX / DI 방향성 period=16, threshold=15 |
5.4% | -70.0% | 0.33 | 0.08 | 1.7x | 112 | 49% |
| Buy and hold | 18.4% | -72.3% | 0.60 | 0.25 | 5.0x | 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 77-day average price crosses above the 257-day average
- Sell — Sell (to cash) when the 77-day average falls below the 257-day average