Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Legal & General UCITS ETF Plc - Artificial Intelligence backtest
10 trend-following strategies were compared on the full daily history of Legal & General UCITS ETF Plc - Artificial Intelligence. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.8%, MDD -19.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.7%, drawdown -41.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.8%, MDD -19.9%, Sharpe 0.98, 48% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 17.1%, MDD -25.7%, exposure 70%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 15.8%, MDD -19.9%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=50, k=1.5 |
15.8% | -19.9% | 0.98 | 0.79 | 2.8x | 30 | 48% |
| EMA 크로스오버 fast=26, slow=191 |
17.1% | -25.7% | 0.89 | 0.67 | 3.1x | 5 | 70% |
| Donchian 채널 돌파 entryN=48, exitN=20 |
15.7% | -28.1% | 0.85 | 0.56 | 2.8x | 20 | 54% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=22, mult=2.2 |
13.0% | -16.8% | 0.85 | 0.78 | 2.4x | 34 | 47% |
| SMA 크로스오버 fast=19, slow=188 |
15.5% | -23.7% | 0.82 | 0.65 | 2.8x | 11 | 66% |
| ROC 모멘텀 n=149, threshold=-0.03 |
14.6% | -31.8% | 0.73 | 0.46 | 2.6x | 29 | 75% |
| Supertrend period=21, mult=3.9 |
11.3% | -38.8% | 0.69 | 0.29 | 2.1x | 42 | 56% |
| ADX / DI 방향성 period=24, threshold=20 |
6.3% | -16.7% | 0.56 | 0.38 | 1.5x | 28 | 17% |
| MACD fast=18, slow=59, signal=19 |
4.8% | -54.7% | 0.35 | 0.09 | 1.4x | 82 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.4% | -36.9% | 0.17 | 0.04 | 1.1x | 118 | 54% |
| Buy and hold | 15.7% | -41.6% | 0.66 | 0.38 | 2.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 50-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 50-day middle average