Trend-Following Backtester · Guide · backtest 한국어
equity · DK
ROCKWOOL A/S Class A backtest
10 trend-following strategies were compared on the full daily history of ROCKWOOL A/S Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.7%, MDD -49.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.2%, drawdown -94.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.9%, MDD -55.3%, Sharpe 0.67, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 10.7%, MDD -49.4%, exposure 59%).
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=50, slow=106 |
13.9% | -55.3% | 0.67 | 0.25 | 31.5x | 55 | 55% |
| ADX / DI 방향성 period=49, threshold=26 |
4.3% | -16.2% | 0.60 | 0.27 | 3.1x | 14 | 12% |
| EMA 크로스오버 fast=55, slow=85 |
10.7% | -49.4% | 0.54 | 0.22 | 14.9x | 45 | 59% |
| Donchian 채널 돌파 entryN=90, exitN=61 |
4.5% | -93.1% | 0.44 | 0.05 | 3.2x | 38 | 50% |
| MACD fast=23, slow=30, signal=24 |
-0.7% | -95.0% | 0.25 | -0.01 | 0.8x | 262 | 52% |
| ROC 모멘텀 n=140, threshold=-0.04 |
-6.7% | -99.6% | 0.21 | -0.07 | 0.2x | 148 | 64% |
| 볼린저 밴드 돌파 n=52, k=1.4 |
-7.2% | -99.5% | 0.18 | -0.07 | 0.1x | 118 | 45% |
| Supertrend period=16, mult=5 |
-8.3% | -99.5% | 0.16 | -0.08 | 0.1x | 121 | 56% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=11, mult=2.1 |
-8.2% | -99.4% | 0.15 | -0.08 | 0.1x | 112 | 47% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-12.1% | -99.7% | 0.04 | -0.12 | 0.0x | 286 | 52% |
| Buy and hold | 9.2% | -94.4% | 0.31 | 0.10 | 10.5x | 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 50-day average price crosses above the 106-day average
- Sell — Sell (to cash) when the 50-day average falls below the 106-day average