Trend-Following Backtester · Guide · backtest 한국어
equity · US
LKQ Corporation backtest
10 trend-following strategies were compared on the full daily history of LKQ Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.9%, MDD -44.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -68.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -44.0%, Sharpe 0.51, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 24.1%p (CAGR 9.9%, MDD -44.0%, exposure 61%).
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=52, slow=106 |
9.9% | -44.0% | 0.51 | 0.23 | 8.7x | 48 | 61% |
| ROC 모멘텀 n=77, threshold=-0.08 |
7.6% | -66.8% | 0.40 | 0.11 | 5.3x | 186 | 79% |
| Donchian 채널 돌파 entryN=18, exitN=80 |
7.4% | -67.2% | 0.39 | 0.11 | 5.1x | 56 | 85% |
| EMA 크로스오버 fast=47, slow=150 |
6.9% | -61.3% | 0.39 | 0.11 | 4.6x | 34 | 64% |
| Supertrend period=16, mult=4.3 |
5.8% | -48.4% | 0.35 | 0.12 | 3.7x | 80 | 61% |
| 볼린저 밴드 돌파 n=47, k=2.9 |
1.9% | -35.3% | 0.22 | 0.06 | 1.6x | 38 | 16% |
| ADX / DI 방향성 period=34, threshold=32 |
0.1% | -8.3% | 0.08 | 0.02 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=21, mult=3.3 |
0.1% | -12.8% | 0.03 | 0.00 | 1.0x | 12 | 2% |
| MACD fast=18, slow=49, signal=19 |
-2.3% | -62.8% | 0.02 | -0.04 | 0.6x | 255 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.6% | -68.4% | -0.08 | -0.07 | 0.3x | 194 | 53% |
| Buy and hold | 11.2% | -68.0% | 0.48 | 0.16 | 11.3x | 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 52-day average price crosses above the 106-day average
- Sell — Sell (to cash) when the 52-day average falls below the 106-day average