Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Lancashire Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Lancashire Holdings Limited. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -4.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.1%, drawdown -62.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -4.8%, Sharpe 0.63, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 57.7%p (CAGR 2.7%, MDD -4.8%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=33 |
2.7% | -4.8% | 0.63 | 0.57 | 1.7x | 4 | 2% |
| SMA 크로스오버 fast=95, slow=200 |
1.5% | -44.5% | 0.18 | 0.03 | 1.4x | 28 | 57% |
| Donchian 채널 돌파 entryN=11, exitN=68 |
0.8% | -51.8% | 0.15 | 0.02 | 1.2x | 47 | 84% |
| ROC 모멘텀 n=39, threshold=-0.13 |
-0.7% | -76.5% | 0.10 | -0.01 | 0.9x | 85 | 93% |
| EMA 크로스오버 fast=77, slow=204 |
-2.1% | -68.9% | -0.00 | -0.03 | 0.6x | 27 | 58% |
| MACD fast=17, slow=24, signal=18 |
-2.2% | -55.3% | -0.03 | -0.04 | 0.6x | 272 | 52% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=27, mult=3.2 |
-0.7% | -31.4% | -0.12 | -0.02 | 0.9x | 20 | 4% |
| 볼린저 밴드 돌파 n=26, k=1.8 |
-4.7% | -71.2% | -0.26 | -0.07 | 0.4x | 172 | 33% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-6.2% | -76.5% | -0.28 | -0.08 | 0.3x | 178 | 49% |
| Supertrend period=17, mult=2.4 |
-7.7% | -81.5% | -0.34 | -0.09 | 0.2x | 194 | 53% |
| Buy and hold | 3.1% | -62.5% | 0.25 | 0.05 | 1.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)