Trend-Following Backtester · Guide · backtest 한국어
equity · KR
엘앤에프 backtest
10 trend-following strategies were compared on the full daily history of 엘앤에프. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.3%, MDD -57.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 15.7%, drawdown -88.5%).
Sharpe leader (same as main): MACD — CAGR 22.8%, MDD -75.0%, Sharpe 0.70, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 13.5%p (CAGR 18.3%, MDD -57.9%, exposure 33%).
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=5, slow=45, signal=14 |
22.8% | -75.0% | 0.70 | 0.30 | 126.5x | 460 | 51% |
| 볼린저 밴드 돌파 n=28, k=0.9 |
21.4% | -66.6% | 0.69 | 0.32 | 96.4x | 244 | 42% |
| Donchian 채널 돌파 entryN=81, exitN=29 |
18.3% | -57.9% | 0.65 | 0.32 | 52.9x | 50 | 33% |
| SMA 크로스오버 fast=44, slow=183 |
19.2% | -81.1% | 0.62 | 0.24 | 62.7x | 34 | 50% |
| Supertrend period=17, mult=1.9 |
18.5% | -86.8% | 0.62 | 0.21 | 54.6x | 280 | 49% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=19, mult=1.2 |
17.0% | -64.1% | 0.61 | 0.26 | 40.2x | 228 | 37% |
| ROC 모멘텀 n=54, threshold=0.13 |
15.5% | -64.9% | 0.57 | 0.24 | 29.9x | 218 | 35% |
| EMA 크로스오버 fast=47, slow=120 |
15.9% | -84.7% | 0.55 | 0.19 | 32.3x | 40 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
15.4% | -88.5% | 0.55 | 0.17 | 29.2x | 382 | 51% |
| ADX / DI 방향성 period=15, threshold=14 |
14.4% | -79.5% | 0.53 | 0.18 | 23.8x | 396 | 50% |
| Buy and hold | 15.7% | -88.5% | 0.54 | 0.18 | 31.4x | 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 (5/45) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line