Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Lloyds Banking Group plc backtest
10 trend-following strategies were compared on the full daily history of Lloyds Banking Group plc. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -33.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.2%, drawdown -96.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.4%, MDD -71.0%, Sharpe 0.27, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.5%, MDD -74.6%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 25.8%p (CAGR 0.4%, MDD -33.4%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=44, slow=197 |
3.4% | -71.0% | 0.27 | 0.05 | 2.8x | 49 | 52% |
| Donchian 채널 돌파 entryN=93, exitN=105 |
3.5% | -74.6% | 0.27 | 0.05 | 2.9x | 27 | 54% |
| SMA 크로스오버 fast=22, slow=282 |
3.4% | -69.2% | 0.27 | 0.05 | 2.8x | 47 | 51% |
| 볼린저 밴드 돌파 n=50, k=2.9 |
1.3% | -36.3% | 0.16 | 0.03 | 1.5x | 42 | 12% |
| ROC 모멘텀 n=111, threshold=-0.03 |
-0.3% | -88.9% | 0.10 | -0.00 | 0.9x | 317 | 61% |
| ADX / DI 방향성 period=32, threshold=32 |
0.4% | -33.4% | 0.09 | 0.01 | 1.1x | 24 | 10% |
| Supertrend period=11, mult=4.2 |
-1.8% | -86.5% | 0.04 | -0.02 | 0.6x | 145 | 48% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=25, mult=4 |
-0.3% | -67.7% | 0.04 | -0.01 | 0.9x | 67 | 18% |
| MACD fast=12, slow=37, signal=19 |
-11.7% | -99.0% | -0.29 | -0.12 | 0.0x | 432 | 50% |
| Parabolic SAR step=0.015, maxStep=0.42 |
-13.1% | -99.4% | -0.38 | -0.13 | 0.0x | 538 | 49% |
| Buy and hold | -2.2% | -96.9% | 0.16 | -0.02 | 0.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 44-day EMA crosses above the 197-day EMA
- Sell — Sell when the 44-day EMA falls below the 197-day EMA