Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LG전자우 backtest
10 trend-following strategies were compared on the full daily history of LG전자우. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.0%, MDD -45.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.5%, drawdown -79.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.5%, MDD -57.4%, Sharpe 0.52, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 8.0%, MDD -45.4%, exposure 14%).
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=11, slow=156 |
11.5% | -57.4% | 0.52 | 0.20 | 9.8x | 45 | 44% |
| 볼린저 밴드 돌파 n=34, k=2.2 |
9.8% | -50.7% | 0.49 | 0.19 | 7.1x | 100 | 28% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=29, mult=3.6 |
8.0% | -45.4% | 0.45 | 0.18 | 5.0x | 42 | 14% |
| Parabolic SAR step=0.02, maxStep=0.02 |
9.3% | -59.9% | 0.45 | 0.16 | 6.4x | 108 | 46% |
| Donchian 채널 돌파 entryN=91, exitN=52 |
9.2% | -55.2% | 0.45 | 0.17 | 6.3x | 30 | 38% |
| ROC 모멘텀 n=91, threshold=0.04 |
8.8% | -58.1% | 0.43 | 0.15 | 5.8x | 179 | 41% |
| EMA 크로스오버 fast=37, slow=84 |
8.5% | -57.4% | 0.42 | 0.15 | 5.6x | 47 | 44% |
| Supertrend period=15, mult=4.5 |
8.2% | -63.3% | 0.42 | 0.13 | 5.2x | 80 | 50% |
| MACD fast=16, slow=27, signal=14 |
7.4% | -58.9% | 0.39 | 0.13 | 4.4x | 265 | 52% |
| ADX / DI 방향성 period=14, threshold=12 |
3.5% | -70.5% | 0.26 | 0.05 | 2.1x | 393 | 46% |
| Buy and hold | 2.5% | -79.7% | 0.25 | 0.03 | 1.7x | 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 11-day average price crosses above the 156-day average
- Sell — Sell (to cash) when the 11-day average falls below the 156-day average