Trend-Following Backtester · Guide · backtest 한국어
equity · IN
LT Foods Limited backtest
10 trend-following strategies were compared on the full daily history of LT Foods Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 24.9%, MDD -52.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.1%, drawdown -86.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 24.9%, MDD -52.5%, Sharpe 0.76, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 33.9%p (CAGR 24.9%, MDD -52.5%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=57, slow=162 |
24.9% | -52.5% | 0.76 | 0.47 | 79.3x | 21 | 66% |
| SMA 크로스오버 fast=42, slow=179 |
19.8% | -62.9% | 0.66 | 0.31 | 35.0x | 31 | 59% |
| 볼린저 밴드 돌파 n=38, k=2.1 |
16.7% | -59.1% | 0.65 | 0.28 | 20.9x | 89 | 32% |
| Donchian 채널 돌파 entryN=98, exitN=66 |
18.1% | -53.9% | 0.64 | 0.34 | 26.5x | 25 | 52% |
| Supertrend period=48, mult=4 |
17.5% | -54.8% | 0.64 | 0.32 | 24.0x | 73 | 45% |
| ROC 모멘텀 n=102, threshold=-0.06 |
17.9% | -73.2% | 0.61 | 0.25 | 25.8x | 177 | 67% |
| MACD fast=24, slow=40, signal=19 |
15.5% | -75.1% | 0.58 | 0.21 | 17.2x | 189 | 49% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=23, mult=2.1 |
12.0% | -68.4% | 0.53 | 0.18 | 9.3x | 95 | 29% |
| ADX / DI 방향성 period=36, threshold=16 |
11.6% | -56.9% | 0.50 | 0.20 | 8.8x | 87 | 41% |
| Parabolic SAR step=0.04, maxStep=0.32 |
3.8% | -87.7% | 0.28 | 0.04 | 2.1x | 604 | 50% |
| Buy and hold | 25.1% | -86.5% | 0.70 | 0.29 | 82.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 162-day EMA
- Sell — Sell when the 57-day EMA falls below the 162-day EMA