Trend-Following Backtester · Guide · backtest 한국어
equity · PL
LPP S.A. backtest
10 trend-following strategies were compared on the full daily history of LPP S.A.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.1%, drawdown -65.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 23.5%, MDD -65.9%, Sharpe 0.84, 68% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 24.8%, MDD -59.5%, exposure 81%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=59, slow=142 |
23.5% | -65.9% | 0.84 | 0.36 | 207.0x | 29 | 68% |
| Donchian 채널 돌파 entryN=25, exitN=79 |
24.8% | -59.5% | 0.83 | 0.42 | 269.5x | 49 | 81% |
| SMA 크로스오버 fast=30, slow=148 |
23.0% | -56.3% | 0.83 | 0.41 | 187.9x | 45 | 64% |
| ROC 모멘텀 n=118, threshold=0.02 |
21.9% | -59.6% | 0.82 | 0.37 | 148.9x | 173 | 63% |
| ADX / DI 방향성 period=34, threshold=21 |
14.6% | -29.2% | 0.81 | 0.50 | 31.7x | 54 | 24% |
| 볼린저 밴드 돌파 n=45, k=2.2 |
17.6% | -52.2% | 0.80 | 0.34 | 60.1x | 102 | 38% |
| MACD fast=18, slow=26, signal=19 |
16.7% | -61.3% | 0.71 | 0.27 | 49.5x | 284 | 50% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=23, mult=1.6 |
15.1% | -67.1% | 0.68 | 0.22 | 35.0x | 162 | 47% |
| Parabolic SAR step=0.02, maxStep=0.12 |
15.4% | -76.9% | 0.64 | 0.20 | 37.4x | 476 | 53% |
| Supertrend period=17, mult=3.4 |
14.8% | -57.3% | 0.63 | 0.26 | 33.0x | 148 | 55% |
| Buy and hold | 27.1% | -65.5% | 0.81 | 0.41 | 432.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 142-day EMA
- Sell — Sell when the 59-day EMA falls below the 142-day EMA