Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Lloyds Engineering Works Ltd backtest
10 trend-following strategies were compared on the full daily history of Lloyds Engineering Works Ltd. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 47.6%, MDD -41.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 43.8%, drawdown -92.1%).
Sharpe leader (same as main): Supertrend — CAGR 77.7%, MDD -65.6%, Sharpe 1.55, 37% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 33.9%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 47.6%, MDD -41.6%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=1.5 |
77.7% | -65.6% | 1.55 | 1.18 | 319.4x | 147 | 37% |
| Donchian 채널 돌파 entryN=111, exitN=11 |
39.3% | -39.0% | 1.35 | 1.01 | 27.7x | 30 | 15% |
| Parabolic SAR step=0.045, maxStep=0.3 |
66.5% | -52.9% | 1.31 | 1.26 | 166.4x | 276 | 45% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=14, mult=1.4 |
47.6% | -41.6% | 1.29 | 1.14 | 49.7x | 90 | 25% |
| EMA 크로스오버 fast=4, slow=145 |
55.1% | -65.4% | 1.20 | 0.84 | 81.5x | 29 | 50% |
| ROC 모멘텀 n=143, threshold=0.05 |
53.1% | -64.1% | 1.16 | 0.83 | 71.5x | 69 | 49% |
| ADX / DI 방향성 period=21, threshold=11 |
54.5% | -62.9% | 1.10 | 0.87 | 78.6x | 147 | 50% |
| SMA 크로스오버 fast=36, slow=212 |
46.9% | -70.9% | 1.08 | 0.66 | 47.4x | 13 | 51% |
| 볼린저 밴드 돌파 n=12, k=1.8 |
37.0% | -54.8% | 1.04 | 0.68 | 23.5x | 140 | 26% |
| MACD fast=18, slow=44, signal=24 |
45.7% | -81.0% | 0.97 | 0.56 | 43.5x | 88 | 51% |
| Buy and hold | 43.8% | -92.1% | 0.87 | 0.48 | 38.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 1.5× band
- Sell — Sell when price drops below the trend line (flips down)