Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LS ELECTRIC backtest
10 trend-following strategies were compared on the full daily history of LS ELECTRIC. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 19.2%, MDD -55.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 16.7%, drawdown -77.0%).
Sharpe leader (same as main): MACD — CAGR 19.2%, MDD -55.2%, Sharpe 0.66, 53% exposure.
Return/drawdown alternative: MACD — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 19.2%, MDD -55.2%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=38, signal=11 |
19.2% | -55.2% | 0.66 | 0.35 | 105.3x | 328 | 53% |
| Supertrend period=12, mult=4.8 |
17.1% | -72.1% | 0.61 | 0.24 | 65.8x | 80 | 54% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=12, mult=2.3 |
15.4% | -58.1% | 0.60 | 0.27 | 45.4x | 110 | 36% |
| SMA 크로스오버 fast=16, slow=90 |
16.6% | -74.9% | 0.60 | 0.22 | 58.7x | 98 | 52% |
| EMA 크로스오버 fast=30, slow=180 |
15.9% | -58.3% | 0.58 | 0.27 | 50.5x | 47 | 56% |
| Donchian 채널 돌파 entryN=35, exitN=22 |
12.9% | -62.2% | 0.53 | 0.21 | 25.2x | 110 | 44% |
| Parabolic SAR step=0.02, maxStep=0.1 |
12.2% | -67.2% | 0.50 | 0.18 | 21.1x | 484 | 52% |
| 볼린저 밴드 돌파 n=45, k=1.7 |
11.1% | -69.0% | 0.48 | 0.16 | 16.4x | 146 | 37% |
| ROC 모멘텀 n=35, threshold=0.02 |
10.6% | -79.7% | 0.46 | 0.13 | 14.5x | 442 | 48% |
| ADX / DI 방향성 period=30, threshold=12 |
10.0% | -77.3% | 0.44 | 0.13 | 12.6x | 264 | 45% |
| Buy and hold | 16.7% | -77.0% | 0.56 | 0.22 | 60.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/38) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line