Trend-Following Backtester · Guide · backtest 한국어
equity · TW
L&K Engineering Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of L&K Engineering Co. Ltd.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.4%, MDD -42.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 11.3%, drawdown -77.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.8%, MDD -56.5%, Sharpe 0.66, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 20.8%p (CAGR 13.4%, MDD -42.5%, exposure 26%).
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=33 |
15.8% | -56.5% | 0.66 | 0.28 | 29.3x | 170 | 53% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=13, mult=3.7 |
13.4% | -42.5% | 0.66 | 0.32 | 18.1x | 48 | 26% |
| Supertrend period=25, mult=3.6 |
14.0% | -56.5% | 0.62 | 0.25 | 20.2x | 118 | 49% |
| 볼린저 밴드 돌파 n=33, k=0.9 |
13.6% | -48.1% | 0.61 | 0.28 | 18.8x | 198 | 44% |
| ADX / DI 방향성 period=24, threshold=24 |
11.2% | -41.0% | 0.59 | 0.27 | 11.4x | 66 | 22% |
| Donchian 채널 돌파 entryN=22, exitN=26 |
13.4% | -61.2% | 0.58 | 0.22 | 18.2x | 98 | 53% |
| Parabolic SAR step=0.01, maxStep=0.32 |
10.8% | -60.2% | 0.52 | 0.18 | 10.7x | 249 | 50% |
| MACD fast=23, slow=57, signal=13 |
9.2% | -45.6% | 0.47 | 0.20 | 7.6x | 224 | 51% |
| ROC 모멘텀 n=76, threshold=0.01 |
8.3% | -73.4% | 0.42 | 0.11 | 6.3x | 219 | 50% |
| EMA 크로스오버 fast=7, slow=164 |
7.8% | -78.4% | 0.40 | 0.10 | 5.6x | 95 | 50% |
| Buy and hold | 11.3% | -77.3% | 0.48 | 0.15 | 11.8x | 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 33-day average
- Sell — Sell (to cash) when the 11-day average falls below the 33-day average