Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Ambu A/S Class B backtest
10 trend-following strategies were compared on the full daily history of Ambu A/S Class B. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 16.4%, drawdown -83.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -6.4%, Sharpe 0.47, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.5%, MDD -85.9%, exposure 73%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=38 |
2.2% | -6.4% | 0.47 | 0.34 | 1.6x | 2 | 1% |
| Donchian 채널 돌파 entryN=36, exitN=75 |
20.5% | -85.9% | 0.43 | 0.24 | 67.6x | 35 | 73% |
| Supertrend period=2, mult=5 |
3.8% | -97.7% | 0.41 | 0.04 | 2.3x | 92 | 61% |
| SMA 크로스오버 fast=58, slow=83 |
16.7% | -85.9% | 0.40 | 0.19 | 32.3x | 73 | 60% |
| ROC 모멘텀 n=85, threshold=-0.01 |
13.1% | -84.3% | 0.37 | 0.16 | 16.1x | 193 | 61% |
| EMA 크로스오버 fast=35, slow=61 |
10.0% | -97.4% | 0.35 | 0.10 | 8.5x | 53 | 61% |
| MACD fast=14, slow=47, signal=19 |
-4.9% | -91.9% | 0.19 | -0.05 | 0.3x | 266 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=1.4 |
-4.9% | -98.1% | 0.17 | -0.05 | 0.3x | 142 | 48% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-6.7% | -93.1% | 0.17 | -0.07 | 0.2x | 466 | 52% |
| 볼린저 밴드 돌파 n=56, k=1 |
-5.3% | -97.9% | 0.16 | -0.05 | 0.3x | 142 | 48% |
| Buy and hold | 16.4% | -83.8% | 0.41 | 0.20 | 30.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)