Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LG디스플레이 backtest
10 trend-following strategies were compared on the full daily history of LG디스플레이. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.6%, MDD -14.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.3%, drawdown -85.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.2%, MDD -16.0%, Sharpe 0.21, 2% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 69.5%p (CAGR 0.6%, MDD -14.4%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=21, threshold=34 |
1.2% | -16.0% | 0.21 | 0.07 | 1.3x | 6 | 2% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
0.6% | -14.4% | 0.14 | 0.04 | 1.1x | 2 | 0% |
| MACD fast=19, slow=58, signal=18 |
-1.5% | -64.2% | 0.09 | -0.02 | 0.7x | 200 | 50% |
| SMA 크로스오버 fast=15, slow=101 |
-2.3% | -75.2% | 0.04 | -0.03 | 0.6x | 88 | 45% |
| EMA 크로스오버 fast=56, slow=163 |
-2.5% | -61.5% | 0.03 | -0.04 | 0.6x | 32 | 43% |
| Supertrend period=8, mult=2.7 |
-3.3% | -76.5% | 0.02 | -0.04 | 0.5x | 170 | 47% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=9, mult=3.9 |
-0.1% | -20.5% | 0.01 | -0.00 | 1.0x | 6 | 2% |
| Donchian 채널 돌파 entryN=100, exitN=58 |
-3.0% | -73.1% | -0.01 | -0.04 | 0.5x | 34 | 34% |
| ROC 모멘텀 n=118, threshold=0.08 |
-4.7% | -76.3% | -0.10 | -0.06 | 0.4x | 170 | 32% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-9.5% | -90.0% | -0.23 | -0.11 | 0.1x | 194 | 51% |
| Buy and hold | -5.3% | -85.5% | 0.07 | -0.06 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 21-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)