Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LG생활건강 backtest
10 trend-following strategies were compared on the full daily history of LG생활건강. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.8%, MDD -60.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -87.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.8%, MDD -60.6%, Sharpe 0.51, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 27.2%p (CAGR 10.8%, MDD -60.6%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=51, slow=168 |
10.8% | -60.6% | 0.51 | 0.18 | 13.4x | 31 | 58% |
| SMA 크로스오버 fast=47, slow=216 |
10.0% | -68.1% | 0.49 | 0.15 | 11.3x | 29 | 57% |
| ROC 모멘텀 n=123, threshold=-0.01 |
8.1% | -73.2% | 0.42 | 0.11 | 7.1x | 187 | 61% |
| Donchian 채널 돌파 entryN=112, exitN=72 |
6.7% | -58.8% | 0.38 | 0.11 | 5.2x | 33 | 47% |
| Supertrend period=11, mult=5 |
4.5% | -73.4% | 0.30 | 0.06 | 3.0x | 67 | 62% |
| ADX / DI 방향성 period=35, threshold=39 |
0.6% | -5.8% | 0.29 | 0.10 | 1.2x | 4 | 0% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
3.0% | -44.3% | 0.26 | 0.07 | 2.1x | 57 | 23% |
| Parabolic SAR step=0.005, maxStep=0.42 |
1.0% | -74.1% | 0.17 | 0.01 | 1.3x | 203 | 53% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=3.5 |
-0.3% | -30.2% | 0.01 | -0.01 | 0.9x | 30 | 4% |
| MACD fast=16, slow=29, signal=12 |
-5.2% | -90.4% | -0.07 | -0.06 | 0.3x | 392 | 50% |
| Buy and hold | 13.1% | -87.9% | 0.52 | 0.15 | 22.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 51-day EMA crosses above the 168-day EMA
- Sell — Sell when the 51-day EMA falls below the 168-day EMA