Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Land Securities Group PLC backtest
10 trend-following strategies were compared on the full daily history of Land Securities Group PLC. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -15.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.7%, drawdown -83.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.1%, MDD -71.6%, Sharpe 0.21, 55% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 12.2%p (CAGR 0.8%, MDD -15.5%, exposure 4%).
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=13, slow=208 |
2.1% | -71.6% | 0.21 | 0.03 | 2.2x | 83 | 55% |
| ADX / DI 방향성 period=37, threshold=27 |
0.8% | -15.5% | 0.20 | 0.05 | 1.3x | 20 | 4% |
| EMA 크로스오버 fast=51, slow=88 |
1.7% | -75.6% | 0.19 | 0.02 | 1.9x | 77 | 55% |
| Donchian 채널 돌파 entryN=83, exitN=54 |
1.5% | -56.9% | 0.17 | 0.03 | 1.7x | 65 | 48% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=12, mult=1.9 |
-0.5% | -63.8% | 0.02 | -0.01 | 0.8x | 223 | 37% |
| Supertrend period=8, mult=4.7 |
-0.9% | -76.3% | 0.02 | -0.01 | 0.7x | 173 | 51% |
| 볼린저 밴드 돌파 n=48, k=1.1 |
-1.2% | -72.3% | -0.01 | -0.02 | 0.6x | 239 | 43% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.9% | -80.7% | -0.03 | -0.02 | 0.5x | 317 | 52% |
| ROC 모멘텀 n=154, threshold=-0.03 |
-2.0% | -85.7% | -0.04 | -0.02 | 0.5x | 309 | 61% |
| MACD fast=23, slow=35, signal=20 |
-3.0% | -85.5% | -0.09 | -0.04 | 0.3x | 393 | 49% |
| Buy and hold | 0.7% | -83.8% | 0.15 | 0.01 | 1.3x | 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 13-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 13-day average falls below the 208-day average