Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Legal & General UCITS ETF Plc - Global Equity backtest
10 trend-following strategies were compared on the full daily history of Legal & General UCITS ETF Plc - Global Equity. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.9%, MDD -16.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.6%, drawdown -30.5%).
Sharpe leader (same as main): Supertrend — CAGR 11.9%, MDD -16.3%, Sharpe 0.85, 71% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.2%, MDD -31.9%, exposure 95%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Supertrend — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 14.3%p (CAGR 11.9%, MDD -16.3%, exposure 71%).
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=32, mult=4.3 |
11.9% | -16.3% | 0.85 | 0.73 | 2.4x | 41 | 71% |
| ROC 모멘텀 Hold-like · Exposure 95% n=27, threshold=-0.09 |
14.2% | -31.9% | 0.83 | 0.44 | 2.8x | 13 | 95% |
| Donchian 채널 돌파 entryN=17, exitN=85 |
12.6% | -26.3% | 0.77 | 0.48 | 2.6x | 9 | 93% |
| SMA 크로스오버 fast=12, slow=32 |
7.8% | -17.4% | 0.60 | 0.45 | 1.8x | 69 | 68% |
| EMA 크로스오버 fast=10, slow=80 |
7.8% | -28.0% | 0.54 | 0.28 | 1.8x | 25 | 76% |
| Parabolic SAR step=0.01, maxStep=0.18 |
6.3% | -21.7% | 0.51 | 0.29 | 1.6x | 95 | 64% |
| MACD fast=23, slow=26, signal=8 |
4.4% | -17.2% | 0.39 | 0.26 | 1.4x | 117 | 52% |
| 볼린저 밴드 돌파 n=31, k=1 |
3.8% | -19.3% | 0.35 | 0.20 | 1.3x | 83 | 57% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=1.1 |
1.8% | -20.8% | 0.20 | 0.09 | 1.2x | 105 | 56% |
| ADX / DI 방향성 period=36, threshold=25 |
0.9% | -25.5% | 0.13 | 0.03 | 1.1x | 4 | 11% |
| Buy and hold | 9.6% | -30.5% | 0.55 | 0.32 | 2.1x | 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) — 32-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)