Trend-Following Backtester · Guide · backtest 한국어
equity · US
LPL Financial Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of LPL Financial Holdings Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.4%, MDD -42.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.7%, drawdown -70.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.4%, MDD -42.4%, Sharpe 0.66, 90% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 28.1%p (CAGR 16.4%, MDD -42.4%, exposure 90%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=8, exitN=76 |
16.4% | -42.4% | 0.66 | 0.39 | 11.1x | 41 | 90% |
| ADX / DI 방향성 period=28, threshold=25 |
4.3% | -18.4% | 0.62 | 0.23 | 1.9x | 10 | 7% |
| EMA 크로스오버 fast=6, slow=217 |
12.0% | -36.4% | 0.57 | 0.33 | 6.0x | 45 | 69% |
| MACD fast=6, slow=52, signal=19 |
10.7% | -33.1% | 0.57 | 0.32 | 5.0x | 246 | 50% |
| SMA 크로스오버 fast=13, slow=184 |
11.4% | -47.9% | 0.55 | 0.24 | 5.5x | 35 | 66% |
| ROC 모멘텀 n=130, threshold=-0.04 |
9.5% | -43.3% | 0.48 | 0.22 | 4.2x | 95 | 69% |
| Supertrend period=9, mult=2.3 |
8.4% | -50.0% | 0.48 | 0.17 | 3.6x | 153 | 55% |
| 볼린저 밴드 돌파 n=59, k=1 |
7.9% | -46.1% | 0.48 | 0.17 | 3.3x | 93 | 52% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=12, mult=3.5 |
5.4% | -39.3% | 0.41 | 0.14 | 2.3x | 47 | 31% |
| Parabolic SAR step=0.015, maxStep=0.18 |
4.4% | -44.1% | 0.30 | 0.10 | 2.0x | 289 | 54% |
| Buy and hold | 16.7% | -70.5% | 0.61 | 0.24 | 11.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 8 days
- Sell — Sell when price breaks below the lowest low of the last 76 days