Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Lowland Investment Co PLC backtest
10 trend-following strategies were compared on the full daily history of Lowland Investment Co PLC. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.0%, MDD -28.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -91.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.1%, MDD -32.8%, Sharpe 0.73, 33% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 9.0%, MDD -28.6%, exposure 40%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 58.5%p (CAGR 9.0%, MDD -28.6%, exposure 40%).
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=28, atrPeriod=21, mult=4 |
8.1% | -32.8% | 0.73 | 0.25 | 83.0x | 144 | 33% |
| ADX / DI 방향성 period=21, threshold=24 |
9.0% | -28.6% | 0.73 | 0.32 | 132.8x | 228 | 40% |
| 볼린저 밴드 돌파 n=25, k=2.7 |
7.3% | -31.1% | 0.66 | 0.23 | 54.0x | 197 | 31% |
| SMA 크로스오버 fast=5, slow=259 |
5.6% | -90.0% | 0.47 | 0.06 | 22.3x | 91 | 66% |
| Supertrend period=20, mult=2.7 |
5.2% | -93.0% | 0.45 | 0.06 | 17.6x | 391 | 59% |
| EMA 크로스오버 fast=7, slow=176 |
5.1% | -92.2% | 0.45 | 0.06 | 16.9x | 133 | 64% |
| ROC 모멘텀 n=151, threshold=-0.08 |
5.0% | -94.6% | 0.42 | 0.05 | 15.7x | 163 | 80% |
| Parabolic SAR step=0.02, maxStep=0.1 |
4.2% | -95.6% | 0.40 | 0.04 | 10.5x | 631 | 57% |
| Donchian 채널 돌파 entryN=27, exitN=7 |
4.0% | -92.1% | 0.39 | 0.04 | 9.0x | 395 | 45% |
| MACD fast=17, slow=53, signal=17 |
4.9% | -95.7% | 0.16 | 0.05 | 14.8x | 503 | 49% |
| Buy and hold | 9.1% | -91.2% | 0.20 | 0.10 | 136.2x | 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 28-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 28-day average