Trend-Following Backtester · Guide · backtest 한국어
equity · GB
LondonMetric Property Plc backtest
10 trend-following strategies were compared on the full daily history of LondonMetric Property Plc. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.5%, drawdown -45.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.9%, MDD -6.0%, Sharpe 0.64, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.7%, MDD -49.9%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=10, mult=4 |
1.9% | -6.0% | 0.64 | 0.32 | 1.4x | 14 | 4% |
| ADX / DI 방향성 period=35, threshold=34 |
0.8% | -9.4% | 0.30 | 0.08 | 1.2x | 6 | 2% |
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.07 |
3.7% | -49.9% | 0.28 | 0.07 | 2.0x | 45 | 99% |
| SMA 크로스오버 fast=56, slow=107 |
0.1% | -31.9% | 0.07 | 0.00 | 1.0x | 58 | 54% |
| 볼린저 밴드 돌파 n=41, k=3.4 |
-0.0% | -16.4% | 0.01 | -0.00 | 1.0x | 10 | 4% |
| EMA 크로스오버 fast=23, slow=181 |
-1.3% | -41.1% | -0.03 | -0.03 | 0.8x | 47 | 59% |
| Donchian 채널 돌파 entryN=114, exitN=65 |
-1.1% | -40.2% | -0.05 | -0.03 | 0.8x | 32 | 41% |
| MACD fast=19, slow=43, signal=14 |
-2.3% | -63.9% | -0.10 | -0.04 | 0.6x | 217 | 49% |
| Supertrend period=26, mult=4.8 |
-3.0% | -62.6% | -0.16 | -0.05 | 0.6x | 71 | 57% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-5.8% | -82.0% | -0.35 | -0.07 | 0.3x | 271 | 53% |
| Buy and hold | 3.5% | -45.2% | 0.27 | 0.08 | 1.9x | 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 11-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average