Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LG이노텍 backtest
10 trend-following strategies were compared on the full daily history of LG이노텍. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.6%, MDD -44.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 14.7%, drawdown -72.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.6%, MDD -44.4%, Sharpe 0.78, 33% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 20.6%, MDD -44.4%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=2.3 |
20.6% | -44.4% | 0.78 | 0.46 | 29.1x | 60 | 33% |
| 볼린저 밴드 돌파 n=55, k=2.1 |
20.1% | -44.4% | 0.77 | 0.45 | 26.9x | 56 | 32% |
| Supertrend period=21, mult=3.1 |
20.6% | -61.3% | 0.72 | 0.34 | 29.1x | 98 | 51% |
| MACD fast=16, slow=68, signal=13 |
19.7% | -68.6% | 0.70 | 0.29 | 25.4x | 190 | 53% |
| Donchian 채널 돌파 entryN=35, exitN=17 |
17.2% | -56.0% | 0.67 | 0.31 | 17.4x | 78 | 38% |
| ADX / DI 방향성 period=19, threshold=25 |
12.8% | -47.1% | 0.63 | 0.27 | 8.7x | 62 | 17% |
| SMA 크로스오버 fast=6, slow=38 |
15.8% | -68.5% | 0.59 | 0.23 | 14.1x | 152 | 53% |
| EMA 크로스오버 fast=12, slow=75 |
14.4% | -58.1% | 0.56 | 0.25 | 11.3x | 84 | 49% |
| Parabolic SAR step=0.01, maxStep=0.12 |
13.7% | -54.8% | 0.55 | 0.25 | 10.1x | 228 | 51% |
| ROC 모멘텀 n=56, threshold=0.1 |
12.0% | -60.7% | 0.53 | 0.20 | 7.7x | 168 | 34% |
| Buy and hold | 14.7% | -72.3% | 0.53 | 0.20 | 11.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 57-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 57-day average