Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Leopalace21 Corporation backtest
10 trend-following strategies were compared on the full daily history of Leopalace21 Corporation. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.5%, MDD -26.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.3%, drawdown -98.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.0%, MDD -58.7%, Sharpe 0.43, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.3%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 4.5%, MDD -26.8%, exposure 5%).
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=14, slow=243 |
9.0% | -58.7% | 0.43 | 0.15 | 7.0x | 32 | 52% |
| EMA 크로스오버 fast=39, slow=175 |
8.8% | -65.9% | 0.42 | 0.13 | 6.6x | 26 | 51% |
| 볼린저 밴드 돌파 n=14, k=2.9 |
4.5% | -26.8% | 0.37 | 0.17 | 2.7x | 40 | 5% |
| Donchian 채널 돌파 entryN=14, exitN=31 |
3.8% | -73.4% | 0.29 | 0.05 | 2.3x | 123 | 63% |
| ROC 모멘텀 n=133, threshold=0.07 |
1.4% | -76.7% | 0.20 | 0.02 | 1.4x | 190 | 42% |
| ADX / DI 방향성 period=27, threshold=17 |
1.6% | -60.2% | 0.20 | 0.03 | 1.4x | 110 | 27% |
| Supertrend period=10, mult=5 |
0.2% | -66.8% | 0.19 | 0.00 | 1.0x | 82 | 55% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-0.7% | -89.4% | 0.17 | -0.01 | 0.9x | 510 | 48% |
| MACD fast=20, slow=27, signal=16 |
-2.1% | -91.9% | 0.13 | -0.02 | 0.6x | 284 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=3.2 |
-1.9% | -74.4% | 0.06 | -0.03 | 0.6x | 76 | 25% |
| Buy and hold | -4.3% | -98.4% | 0.19 | -0.04 | 0.4x | 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 14-day average price crosses above the 243-day average
- Sell — Sell (to cash) when the 14-day average falls below the 243-day average