Trend-Following Backtester · Guide · backtest 한국어
equity · DK
SP Group A/S backtest
10 trend-following strategies were compared on the full daily history of SP Group A/S. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.4%, MDD -42.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.1%, drawdown -95.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.4%, MDD -42.1%, Sharpe 0.68, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 53.5%p (CAGR 16.4%, MDD -42.1%, 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=44, slow=192 |
16.4% | -42.1% | 0.68 | 0.39 | 56.2x | 29 | 59% |
| EMA 크로스오버 fast=53, slow=126 |
13.6% | -59.8% | 0.60 | 0.23 | 29.8x | 27 | 60% |
| Donchian 채널 돌파 entryN=93, exitN=66 |
6.7% | -91.3% | 0.43 | 0.07 | 5.6x | 31 | 55% |
| ROC 모멘텀 n=133, threshold=-0.01 |
-0.5% | -97.5% | 0.27 | -0.01 | 0.9x | 143 | 61% |
| MACD fast=8, slow=51, signal=7 |
-12.9% | -99.5% | 0.07 | -0.13 | 0.0x | 556 | 49% |
| Parabolic SAR step=0.06, maxStep=0.2 |
-14.0% | -99.1% | 0.05 | -0.14 | 0.0x | 697 | 47% |
| Supertrend period=21, mult=4.7 |
-10.6% | -99.7% | -0.01 | -0.11 | 0.1x | 127 | 51% |
| 볼린저 밴드 돌파 n=44, k=1.7 |
-9.5% | -99.0% | -0.02 | -0.10 | 0.1x | 151 | 36% |
| ADX / DI 방향성 period=15, threshold=30 |
-5.2% | -94.7% | -0.03 | -0.06 | 0.2x | 120 | 18% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=3 |
-13.1% | -99.6% | -0.13 | -0.13 | 0.0x | 127 | 38% |
| Buy and hold | 9.1% | -95.6% | 0.35 | 0.10 | 10.2x | 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 44-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 44-day average falls below the 192-day average