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 9.9%, MDD -55.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.5%, drawdown -88.5%).
Sharpe leader (same as main): Supertrend — CAGR 9.9%, MDD -55.2%, Sharpe 0.44, 43% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 9.9%, 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 |
9.9% | -55.2% | 0.44 | 0.18 | 10.2x | 305 | 43% |
| MACD fast=13, slow=56, signal=18 |
7.0% | -67.5% | 0.37 | 0.10 | 5.3x | 253 | 49% |
| Parabolic SAR step=0.01, maxStep=0.16 |
6.0% | -70.1% | 0.34 | 0.09 | 4.2x | 275 | 47% |
| ADX / DI 방향성 period=60, threshold=7 |
5.2% | -76.7% | 0.33 | 0.07 | 3.4x | 129 | 78% |
| SMA 크로스오버 fast=15, slow=31 |
4.2% | -80.7% | 0.29 | 0.05 | 2.7x | 217 | 49% |
| EMA 크로스오버 fast=15, slow=187 |
3.5% | -76.0% | 0.28 | 0.05 | 2.3x | 61 | 54% |
| Donchian 채널 돌파 entryN=11, exitN=78 |
2.5% | -82.4% | 0.28 | 0.03 | 1.8x | 69 | 83% |
| ROC 모멘텀 n=117, threshold=-0.12 |
0.8% | -81.9% | 0.23 | 0.01 | 1.2x | 173 | 73% |
| 볼린저 밴드 돌파 n=38, k=1.3 |
2.0% | -84.3% | 0.22 | 0.02 | 1.6x | 175 | 37% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=26, mult=1.1 |
-0.3% | -78.5% | 0.15 | -0.00 | 0.9x | 219 | 32% |
| Buy and hold | 8.5% | -88.5% | 0.41 | 0.10 | 7.5x | 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)