Trend-Following Backtester · Guide · backtest 한국어
equity · DK
ALK-abello A/S Class B backtest
10 trend-following strategies were compared on the full daily history of ALK-abello A/S Class B. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 8.7%, MDD -41.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.3%, drawdown -82.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.9%, MDD -62.7%, Sharpe 0.55, 66% exposure.
Return/drawdown alternative: MACD — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 19.7%p (CAGR 8.7%, MDD -41.9%, exposure 51%).
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=56, slow=455 |
11.9% | -62.7% | 0.55 | 0.19 | 19.6x | 11 | 66% |
| Donchian 채널 돌파 entryN=30, exitN=11 |
8.9% | -49.5% | 0.52 | 0.18 | 9.4x | 156 | 38% |
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.09 |
11.8% | -76.3% | 0.50 | 0.15 | 19.0x | 73 | 99% |
| ADX / DI 방향성 period=25, threshold=11 |
8.6% | -51.7% | 0.48 | 0.17 | 8.9x | 326 | 49% |
| MACD fast=12, slow=63, signal=18 |
8.7% | -41.9% | 0.47 | 0.21 | 9.1x | 286 | 51% |
| 볼린저 밴드 돌파 n=33, k=1.1 |
8.2% | -54.4% | 0.46 | 0.15 | 8.0x | 252 | 45% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=17, mult=1.5 |
6.8% | -53.7% | 0.42 | 0.13 | 5.7x | 198 | 42% |
| SMA 크로스오버 fast=52, slow=208 |
7.5% | -62.1% | 0.41 | 0.12 | 6.8x | 37 | 59% |
| Supertrend period=18, mult=3.1 |
6.5% | -56.9% | 0.38 | 0.11 | 5.3x | 178 | 56% |
| Parabolic SAR step=0.02, maxStep=0.34 |
3.9% | -67.3% | 0.28 | 0.06 | 2.8x | 500 | 53% |
| Buy and hold | 10.3% | -82.4% | 0.46 | 0.12 | 13.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 455-day EMA
- Sell — Sell when the 56-day EMA falls below the 455-day EMA