Trend-Following Backtester · Guide · backtest 한국어
etf · DK
Maj Invest - Vaekstaktier KL DKK backtest
10 trend-following strategies were compared on the full daily history of Maj Invest - Vaekstaktier KL DKK. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -4.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.5%, drawdown -47.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -4.3%, Sharpe 0.26, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.6%, MDD -40.5%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 42.8%p (CAGR 0.4%, MDD -4.3%, exposure 2%).
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=18, threshold=37 |
0.4% | -4.3% | 0.26 | 0.10 | 1.1x | 8 | 2% |
| 볼린저 밴드 돌파 n=46, k=3.3 |
0.2% | -4.9% | 0.17 | 0.04 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=25, mult=3.9 |
0.4% | -6.0% | 0.17 | 0.06 | 1.1x | 6 | 2% |
| SMA 크로스오버 fast=52, slow=179 |
0.6% | -40.5% | 0.12 | 0.01 | 1.1x | 29 | 57% |
| EMA 크로스오버 fast=46, slow=126 |
-0.0% | -34.9% | 0.07 | -0.00 | 1.0x | 31 | 57% |
| Donchian 채널 돌파 entryN=110, exitN=49 |
-0.6% | -41.3% | 0.02 | -0.01 | 0.9x | 33 | 41% |
| ROC 모멘텀 n=145, threshold=-0.03 |
-1.0% | -52.2% | 0.01 | -0.02 | 0.8x | 97 | 65% |
| Supertrend period=24, mult=3.2 |
-3.4% | -57.5% | -0.23 | -0.06 | 0.5x | 181 | 60% |
| MACD fast=23, slow=53, signal=27 |
-3.5% | -55.5% | -0.24 | -0.06 | 0.5x | 157 | 54% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-7.3% | -78.3% | -0.49 | -0.09 | 0.2x | 311 | 56% |
| Buy and hold | 0.5% | -47.2% | 0.13 | 0.01 | 1.1x | 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, 18-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)