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Trend-Following Backtester · Guide · backtest 한국어

equity · KR

엘앤에프 backtest

10 trend-following strategies were compared on the full daily history of 엘앤에프. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.3%, MDD -57.9%).

Data 2003-01-02 ~ 2026-07-31daily bars 5,862 (23.6 years)Costs 0.5%Venue XKRXMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 15.7%, drawdown -88.5%).

Sharpe leader (same as main): MACD — CAGR 22.8%, MDD -75.0%, Sharpe 0.70, 51% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 13.5%p (CAGR 18.3%, MDD -57.9%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
MACD
fast=5, slow=45, signal=14
22.8%-75.0%0.700.30126.5x46051%
볼린저 밴드 돌파
n=28, k=0.9
21.4%-66.6%0.690.3296.4x24442%
Donchian 채널 돌파
entryN=81, exitN=29
18.3%-57.9%0.650.3252.9x5033%
SMA 크로스오버
fast=44, slow=183
19.2%-81.1%0.620.2462.7x3450%
Supertrend
period=17, mult=1.9
18.5%-86.8%0.620.2154.6x28049%
Keltner 채널 돌파
emaPeriod=25, atrPeriod=19, mult=1.2
17.0%-64.1%0.610.2640.2x22837%
ROC 모멘텀
n=54, threshold=0.13
15.5%-64.9%0.570.2429.9x21835%
EMA 크로스오버
fast=47, slow=120
15.9%-84.7%0.550.1932.3x4050%
Parabolic SAR
step=0.015, maxStep=0.12
15.4%-88.5%0.550.1729.2x38251%
ADX / DI 방향성
period=15, threshold=14
14.4%-79.5%0.530.1823.8x39650%
Buy and hold15.7%-88.5%0.540.1831.4x1100%
1x 10x 100x 2004 2007 2010 2013 2016 2019 2022 2025 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -66% -89% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdMACD
MACD maximum drawdown -75.0% (2023-04-05 → 2025-06-30), prior peak not yet recovered.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore KR assetsAll asset reports

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