Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Legal & General Group Plc backtest
10 trend-following strategies were compared on the full daily history of Legal & General Group Plc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -90.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.4%, MDD -69.0%, Sharpe 0.31, 60% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=48, slow=250 |
4.4% | -69.0% | 0.31 | 0.06 | 5.2x | 49 | 60% |
| 볼린저 밴드 돌파 n=19, k=3.1 |
1.5% | -15.7% | 0.29 | 0.09 | 1.7x | 36 | 4% |
| ADX / DI 방향성 period=35, threshold=36 |
0.9% | -6.1% | 0.28 | 0.14 | 1.4x | 2 | 1% |
| EMA 크로스오버 fast=43, slow=197 |
3.0% | -67.3% | 0.25 | 0.05 | 3.1x | 57 | 62% |
| Donchian 채널 돌파 entryN=114, exitN=75 |
-0.1% | -72.6% | 0.08 | -0.00 | 1.0x | 59 | 50% |
| Keltner 채널 돌파 emaPeriod=99, atrPeriod=24, mult=2.7 |
-0.2% | -59.3% | 0.07 | -0.00 | 0.9x | 143 | 42% |
| ROC 모멘텀 n=137, threshold=0.03 |
-0.5% | -78.5% | 0.07 | -0.01 | 0.8x | 419 | 53% |
| Supertrend period=8, mult=4.8 |
-2.0% | -71.8% | 0.00 | -0.03 | 0.5x | 211 | 54% |
| MACD fast=17, slow=24, signal=17 |
-6.3% | -94.9% | -0.16 | -0.07 | 0.1x | 556 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-7.6% | -96.6% | -0.23 | -0.08 | 0.0x | 351 | 54% |
| Buy and hold | 6.1% | -90.2% | 0.34 | 0.07 | 9.6x | 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 48-day average price crosses above the 250-day average
- Sell — Sell (to cash) when the 48-day average falls below the 250-day average