Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Lloyds Engineering Works Ltd backtest
10 trend-following strategies were compared on the full daily history of Lloyds Engineering Works Ltd. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 47.1%, MDD -41.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 43.0%, drawdown -92.1%).
Sharpe leader (same as main): Supertrend — CAGR 77.0%, MDD -65.6%, Sharpe 1.54, 38% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 34.0%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 47.1%, MDD -41.6%, exposure 24%).
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=18, mult=1.5 |
77.0% | -65.6% | 1.54 | 1.17 | 322.8x | 148 | 38% |
| Donchian 채널 돌파 entryN=111, exitN=11 |
37.3% | -39.0% | 1.30 | 0.96 | 24.7x | 32 | 16% |
| Parabolic SAR step=0.045, maxStep=0.3 |
65.2% | -52.9% | 1.29 | 1.23 | 160.0x | 278 | 45% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=14, mult=1.4 |
47.1% | -41.6% | 1.28 | 1.13 | 49.7x | 90 | 24% |
| EMA 크로스오버 fast=4, slow=145 |
54.1% | -65.4% | 1.19 | 0.83 | 79.5x | 29 | 51% |
| ROC 모멘텀 n=143, threshold=0.05 |
52.1% | -64.1% | 1.15 | 0.81 | 69.7x | 69 | 50% |
| ADX / DI 방향성 period=21, threshold=11 |
53.6% | -62.9% | 1.09 | 0.85 | 76.9x | 148 | 50% |
| SMA 크로스오버 fast=36, slow=212 |
46.1% | -70.9% | 1.07 | 0.65 | 46.3x | 13 | 52% |
| 볼린저 밴드 돌파 n=12, k=1.8 |
35.7% | -54.8% | 1.01 | 0.65 | 21.9x | 142 | 26% |
| MACD fast=18, slow=44, signal=24 |
45.2% | -81.0% | 0.96 | 0.56 | 43.5x | 88 | 50% |
| Buy and hold | 43.0% | -92.1% | 0.86 | 0.47 | 37.2x | 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) — 18-day volatility, 1.5× band
- Sell — Sell when price drops below the trend line (flips down)