Trend-Following Backtester · Guide · backtest 한국어
etf · DK
Danske Invest - Europa Hojt Udbytte klasse DKK d backtest
10 trend-following strategies were compared on the full daily history of Danske Invest - Europa Hojt Udbytte klasse DKK d. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.3%, drawdown -54.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.2%, MDD -44.0%, Sharpe 0.33, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=8, threshold=-0.09 |
4.2% | -44.0% | 0.33 | 0.09 | 2.0x | 23 | 99% |
| Donchian 채널 돌파 entryN=13, exitN=197 |
3.1% | -49.6% | 0.28 | 0.06 | 1.7x | 21 | 95% |
| ADX / DI 방향성 period=18, threshold=39 |
0.3% | -4.0% | 0.18 | 0.07 | 1.0x | 4 | 1% |
| 볼린저 밴드 돌파 n=54, k=3.2 |
0.2% | -5.4% | 0.10 | 0.03 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=76, slow=198 |
-0.6% | -51.7% | 0.01 | -0.01 | 0.9x | 21 | 56% |
| SMA 크로스오버 fast=38, slow=97 |
-0.6% | -60.1% | 0.01 | -0.01 | 0.9x | 53 | 62% |
| Supertrend period=21, mult=3.1 |
-2.7% | -54.5% | -0.17 | -0.05 | 0.6x | 169 | 60% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=26, mult=4 |
-0.1% | -2.2% | -0.19 | -0.05 | 1.0x | 2 | 0% |
| MACD fast=19, slow=39, signal=15 |
-3.6% | -58.2% | -0.28 | -0.06 | 0.5x | 207 | 52% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-6.2% | -71.6% | -0.48 | -0.09 | 0.3x | 301 | 55% |
| Buy and hold | 3.3% | -54.0% | 0.27 | 0.06 | 1.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 8-day return is greater than -9%
- Sell — Sell when the 8-day return drops to -9% or below