Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lincoln National Corporation backtest
10 trend-following strategies were compared on the full daily history of Lincoln National Corporation. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.2%, MDD -56.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.4%, drawdown -93.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.2%, MDD -68.4%, Sharpe 0.30, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 4.2%, MDD -56.5%, exposure 60%).
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=58, slow=95 |
4.2% | -68.4% | 0.30 | 0.06 | 6.7x | 71 | 60% |
| SMA 크로스오버 fast=54, slow=169 |
4.2% | -56.5% | 0.30 | 0.07 | 6.7x | 65 | 60% |
| Donchian 채널 돌파 entryN=16, exitN=51 |
2.7% | -84.7% | 0.25 | 0.03 | 3.4x | 167 | 76% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
0.6% | -7.9% | 0.23 | 0.08 | 1.3x | 10 | 1% |
| MACD fast=23, slow=47, signal=29 |
1.8% | -76.8% | 0.20 | 0.02 | 2.2x | 404 | 51% |
| Supertrend period=24, mult=4.7 |
1.2% | -76.3% | 0.19 | 0.02 | 1.8x | 167 | 58% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.1% | -82.8% | 0.14 | -0.00 | 0.9x | 392 | 55% |
| ROC 모멘텀 n=130, threshold=-0.02 |
-0.2% | -71.1% | 0.12 | -0.00 | 0.9x | 343 | 63% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=10, mult=2.7 |
0.3% | -67.2% | 0.12 | 0.00 | 1.1x | 179 | 40% |
| ADX / DI 방향성 period=49, threshold=26 |
0.0% | -4.5% | 0.01 | 0.00 | 1.0x | 4 | 0% |
| Buy and hold | 3.4% | -93.3% | 0.30 | 0.04 | 4.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 95-day EMA
- Sell — Sell when the 58-day EMA falls below the 95-day EMA