Trend-Following Backtester · Guide · backtest 한국어
equity · GB
London Stock Exchange Group plc backtest
10 trend-following strategies were compared on the full daily history of London Stock Exchange Group plc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.1%, MDD -42.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -81.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -42.7%, Sharpe 0.54, 71% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 38.6%p (CAGR 11.1%, MDD -42.7%, exposure 71%).
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=24, slow=263 |
11.1% | -42.7% | 0.54 | 0.26 | 14.1x | 26 | 71% |
| Donchian 채널 돌파 entryN=87, exitN=141 |
10.1% | -43.3% | 0.51 | 0.23 | 11.2x | 19 | 74% |
| EMA 크로스오버 fast=48, slow=80 |
8.7% | -57.6% | 0.46 | 0.15 | 8.1x | 50 | 69% |
| 볼린저 밴드 돌파 n=48, k=2.5 |
5.8% | -49.2% | 0.42 | 0.12 | 4.1x | 74 | 28% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=25, mult=1.1 |
5.5% | -52.7% | 0.35 | 0.10 | 3.8x | 228 | 49% |
| ADX / DI 방향성 period=21, threshold=23 |
3.7% | -31.5% | 0.32 | 0.12 | 2.5x | 118 | 26% |
| Supertrend period=20, mult=3.2 |
3.6% | -59.1% | 0.27 | 0.06 | 2.4x | 166 | 58% |
| ROC 모멘텀 n=90, threshold=-0.03 |
3.6% | -60.0% | 0.26 | 0.06 | 2.4x | 237 | 73% |
| Parabolic SAR step=0.02, maxStep=0.02 |
3.6% | -61.1% | 0.26 | 0.06 | 2.4x | 167 | 59% |
| MACD fast=6, slow=56, signal=14 |
-2.4% | -75.8% | 0.01 | -0.03 | 0.5x | 469 | 51% |
| Buy and hold | 13.0% | -81.3% | 0.53 | 0.16 | 21.3x | 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 24-day average price crosses above the 263-day average
- Sell — Sell (to cash) when the 24-day average falls below the 263-day average