Trend-Following Backtester · Guide · backtest 한국어

equity · DK

Alm. Brand A/S backtest

10 trend-following strategies were compared on the full daily history of Alm. Brand A/S. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.1%, MDD -36.5%).

Data 2000-01-03 ~ 2026-07-30daily bars 6,710 (26.6 years)Costs 0.5%Venue OMXCOPMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR 2.1%, drawdown -96.0%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.7%, MDD -53.7%, Sharpe 0.65, 57% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 10.8%, MDD -40.8%, exposure 58%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 10.1%, MDD -36.5%, exposure 49%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
EMA 크로스오버
fast=33, slow=314
10.7%-53.7%0.650.2014.8x1957%
Donchian 채널 돌파
entryN=74, exitN=56
10.4%-46.8%0.600.2213.9x3951%
Keltner 채널 돌파
emaPeriod=73, atrPeriod=5, mult=1.3
10.1%-36.5%0.600.2812.7x12549%
SMA 크로스오버
fast=5, slow=140
10.8%-40.8%0.600.2715.4x8558%
Supertrend
period=16, mult=5
9.7%-51.8%0.560.1911.6x6751%
ROC 모멘텀
n=125, threshold=-0.06
9.0%-49.8%0.500.189.9x14266%
Parabolic SAR
step=0.005, maxStep=0.24
8.3%-40.8%0.490.208.3x17952%
볼린저 밴드 돌파
n=27, k=1.9
6.9%-40.4%0.480.175.9x17934%
ADX / DI 방향성
period=20, threshold=15
5.0%-51.5%0.350.103.6x29344%
MACD
fast=19, slow=45, signal=15
1.8%-81.6%0.190.021.6x28951%
Buy and hold2.1%-96.0%0.220.021.7x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 SMA 크로스오버EMA 크로스오버Buy and hold
EMA 크로스오버 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -24% -48% -72% -96% 2001 2005 2009 2013 2017 2021 2025 Buy and holdSMA 크로스오버EMA 크로스오버
EMA 크로스오버 maximum drawdown -53.7% (2017-12-29 → 2024-01-17), prior peak not yet recovered.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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