Trend-Following Backtester · Guide · backtest 한국어
equity · FR
LISI SA backtest
10 trend-following strategies were compared on the full daily history of LISI SA. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.4%, MDD -56.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.0%, drawdown -76.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.4%, MDD -56.2%, Sharpe 0.65, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 19.8%p (CAGR 14.4%, MDD -56.2%, exposure 60%).
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=14 |
14.4% | -56.2% | 0.65 | 0.26 | 36.5x | 206 | 60% |
| SMA 크로스오버 fast=56, slow=106 |
10.1% | -58.7% | 0.51 | 0.17 | 13.0x | 61 | 61% |
| Parabolic SAR step=0.02, maxStep=0.38 |
9.6% | -68.1% | 0.49 | 0.14 | 11.6x | 502 | 53% |
| EMA 크로스오버 fast=57, slow=116 |
9.2% | -57.0% | 0.48 | 0.16 | 10.3x | 47 | 62% |
| ROC 모멘텀 n=162, threshold=0.06 |
7.7% | -65.9% | 0.44 | 0.12 | 7.2x | 163 | 53% |
| 볼린저 밴드 돌파 n=46, k=0.8 |
7.4% | -58.1% | 0.43 | 0.13 | 6.7x | 208 | 50% |
| Supertrend period=22, mult=3.8 |
7.8% | -57.0% | 0.43 | 0.14 | 7.5x | 160 | 56% |
| ADX / DI 방향성 period=9, threshold=17 |
7.1% | -64.0% | 0.40 | 0.11 | 6.2x | 574 | 50% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=21, mult=1.2 |
6.5% | -74.7% | 0.40 | 0.09 | 5.4x | 240 | 49% |
| MACD fast=12, slow=34, signal=16 |
3.6% | -70.6% | 0.26 | 0.05 | 2.6x | 382 | 49% |
| Buy and hold | 10.0% | -76.1% | 0.44 | 0.13 | 12.7x | 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 14 days