Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LS마린솔루션 backtest
10 trend-following strategies were compared on the full daily history of LS마린솔루션. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.5%, MDD -55.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.6%, drawdown -88.5%).
Sharpe leader (same as main): Supertrend — CAGR 9.5%, MDD -55.2%, Sharpe 0.43, 43% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 9.5%, MDD -55.2%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=1.6 |
9.5% | -55.2% | 0.43 | 0.17 | 9.1x | 304 | 43% |
| MACD fast=13, slow=56, signal=18 |
6.1% | -67.5% | 0.34 | 0.09 | 4.2x | 253 | 49% |
| Parabolic SAR step=0.01, maxStep=0.16 |
5.8% | -69.1% | 0.33 | 0.08 | 4.0x | 274 | 47% |
| ADX / DI 방향성 period=60, threshold=7 |
4.7% | -76.7% | 0.32 | 0.06 | 3.1x | 128 | 78% |
| EMA 크로스오버 fast=15, slow=187 |
3.4% | -76.0% | 0.28 | 0.04 | 2.3x | 60 | 54% |
| SMA 크로스오버 fast=15, slow=31 |
3.2% | -80.7% | 0.27 | 0.04 | 2.2x | 217 | 49% |
| Donchian 채널 돌파 entryN=11, exitN=78 |
1.6% | -82.4% | 0.26 | 0.02 | 1.5x | 69 | 82% |
| 볼린저 밴드 돌파 n=38, k=1.3 |
1.8% | -84.3% | 0.21 | 0.02 | 1.6x | 174 | 36% |
| ROC 모멘텀 n=117, threshold=-0.12 |
-0.1% | -81.9% | 0.20 | -0.00 | 1.0x | 172 | 73% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=26, mult=1.1 |
-0.5% | -78.5% | 0.14 | -0.01 | 0.9x | 218 | 32% |
| Buy and hold | 7.6% | -88.5% | 0.39 | 0.09 | 6.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 1.6× band
- Sell — Sell when price drops below the trend line (flips down)