Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Lion Finance Group PLC backtest
10 trend-following strategies were compared on the full daily history of Lion Finance Group PLC. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 46.5%, MDD -39.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 38.8%, drawdown -96.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.7%, MDD -58.7%, Sharpe 0.44, 40% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 49.6%, MDD -79.1%, exposure 88%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 31.1%p lower than buy and hold, while drawdown improves by 37.4%p (CAGR 46.5%, MDD -39.3%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=16, mult=1.8 |
7.7% | -58.7% | 0.44 | 0.13 | 4.3x | 130 | 40% |
| ADX / DI 방향성 period=25, threshold=15 |
7.6% | -41.8% | 0.44 | 0.18 | 4.2x | 160 | 41% |
| 볼린저 밴드 돌파 n=33, k=2.8 |
5.1% | -35.2% | 0.37 | 0.15 | 2.7x | 62 | 20% |
| Donchian 채널 돌파 entryN=6, exitN=62 |
49.6% | -79.1% | 0.25 | 0.63 | 2775.2x | 57 | 88% |
| ROC 모멘텀 n=139, threshold=-0.06 |
48.5% | -60.2% | 0.25 | 0.81 | 2390.8x | 61 | 71% |
| SMA 크로스오버 fast=54, slow=100 |
46.8% | -63.8% | 0.25 | 0.73 | 1923.8x | 43 | 63% |
| EMA 크로스오버 fast=7, slow=176 |
46.5% | -39.3% | 0.25 | 1.18 | 1828.8x | 41 | 62% |
| Parabolic SAR step=0.015, maxStep=0.12 |
43.4% | -77.4% | 0.25 | 0.56 | 1202.6x | 298 | 54% |
| Supertrend period=22, mult=4.4 |
40.2% | -62.0% | 0.25 | 0.65 | 773.4x | 65 | 60% |
| MACD fast=5, slow=14, signal=8 |
29.7% | -92.2% | 0.24 | 0.32 | 167.6x | 536 | 50% |
| Buy and hold | 38.8% | -96.1% | 0.25 | 0.40 | 638.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 33-day average + 1.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 33-day average