Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Brdr A & O Johansen A/S Class B backtest
10 trend-following strategies were compared on the full daily history of Brdr A & O Johansen A/S Class B. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.2%, MDD -40.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.3%, drawdown -88.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.8%, MDD -45.1%, Sharpe 0.66, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 14.2%, MDD -40.9%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=12, slow=133 |
14.8% | -45.1% | 0.66 | 0.33 | 39.3x | 53 | 62% |
| EMA 크로스오버 fast=31, slow=55 |
14.2% | -40.9% | 0.64 | 0.35 | 34.1x | 71 | 62% |
| 볼린저 밴드 돌파 n=132, k=2 |
10.1% | -42.1% | 0.54 | 0.24 | 12.8x | 46 | 48% |
| Donchian 채널 돌파 entryN=49, exitN=73 |
11.5% | -48.7% | 0.52 | 0.24 | 18.0x | 44 | 71% |
| ROC 모멘텀 n=135, threshold=0.05 |
6.5% | -66.8% | 0.38 | 0.10 | 5.4x | 192 | 56% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.7% | -62.2% | 0.36 | 0.11 | 5.5x | 167 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=4 |
4.2% | -48.8% | 0.32 | 0.09 | 3.0x | 84 | 33% |
| ADX / DI 방향성 period=38, threshold=11 |
3.8% | -67.2% | 0.29 | 0.06 | 2.7x | 218 | 43% |
| MACD fast=27, slow=48, signal=36 |
1.3% | -70.4% | 0.20 | 0.02 | 1.4x | 209 | 49% |
| Supertrend period=20, mult=5 |
-0.0% | -71.4% | 0.14 | -0.00 | 1.0x | 128 | 56% |
| Buy and hold | 12.3% | -88.5% | 0.48 | 0.14 | 21.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 12-day average price crosses above the 133-day average
- Sell — Sell (to cash) when the 12-day average falls below the 133-day average