Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Lendlease Group backtest
10 trend-following strategies were compared on the full daily history of Lendlease Group. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.0%, MDD -27.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.2%, drawdown -89.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.7%, MDD -78.1%, Sharpe 0.18, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 11.2%p (CAGR 1.0%, MDD -27.3%, exposure 15%).
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=202 |
1.7% | -78.1% | 0.18 | 0.02 | 1.9x | 60 | 55% |
| EMA 크로스오버 fast=52, slow=278 |
1.6% | -66.5% | 0.18 | 0.02 | 1.8x | 32 | 56% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
1.0% | -27.3% | 0.16 | 0.04 | 1.5x | 52 | 15% |
| Donchian 채널 돌파 entryN=43, exitN=104 |
1.0% | -73.8% | 0.15 | 0.01 | 1.5x | 74 | 68% |
| ROC 모멘텀 n=129, threshold=-0.08 |
0.7% | -73.0% | 0.13 | 0.01 | 1.3x | 194 | 70% |
| Keltner 채널 돌파 emaPeriod=122, atrPeriod=20, mult=3.8 |
0.1% | -46.9% | 0.08 | 0.00 | 1.0x | 92 | 40% |
| ADX / DI 방향성 period=24, threshold=36 |
-0.5% | -40.5% | -0.01 | -0.01 | 0.8x | 62 | 16% |
| Supertrend period=13, mult=4.9 |
-2.2% | -68.2% | -0.05 | -0.03 | 0.4x | 163 | 47% |
| MACD fast=18, slow=33, signal=12 |
-4.0% | -91.6% | -0.12 | -0.04 | 0.2x | 498 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.8% | -85.8% | -0.12 | -0.04 | 0.2x | 271 | 53% |
| Buy and hold | -1.2% | -89.3% | 0.10 | -0.01 | 0.6x | 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 202-day average
- Sell — Sell (to cash) when the 48-day average falls below the 202-day average