Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LS backtest
10 trend-following strategies were compared on the full daily history of LS. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.5%, MDD -59.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.0%, drawdown -83.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -59.6%, Sharpe 0.47, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 10.5%, MDD -59.6%, exposure 55%).
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=57, slow=205 |
10.5% | -59.6% | 0.47 | 0.18 | 14.3x | 29 | 55% |
| EMA 크로스오버 fast=31, slow=288 |
7.7% | -70.3% | 0.39 | 0.11 | 7.1x | 35 | 59% |
| ROC 모멘텀 n=181, threshold=-0.01 |
7.3% | -70.8% | 0.38 | 0.10 | 6.5x | 153 | 59% |
| MACD fast=23, slow=33, signal=17 |
6.5% | -64.3% | 0.36 | 0.10 | 5.3x | 286 | 51% |
| Supertrend period=29, mult=3.3 |
4.8% | -54.4% | 0.31 | 0.09 | 3.4x | 156 | 50% |
| Donchian 채널 돌파 entryN=93, exitN=13 |
4.4% | -72.1% | 0.31 | 0.06 | 3.1x | 82 | 21% |
| 볼린저 밴드 돌파 n=27, k=2.2 |
3.0% | -62.4% | 0.24 | 0.05 | 2.2x | 150 | 25% |
| ADX / DI 방향성 period=9, threshold=18 |
2.8% | -77.3% | 0.24 | 0.04 | 2.1x | 614 | 49% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=22, mult=1.9 |
2.9% | -74.8% | 0.24 | 0.04 | 2.2x | 156 | 32% |
| Parabolic SAR step=0.015, maxStep=0.26 |
1.9% | -78.9% | 0.22 | 0.02 | 1.7x | 480 | 51% |
| Buy and hold | 10.0% | -83.8% | 0.44 | 0.12 | 12.7x | 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 57-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 57-day average falls below the 205-day average