Trend-Following Backtester · Guide · backtest 한국어
etf · FI
Seligson & Co OMX Helsinki 25 Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of Seligson & Co OMX Helsinki 25 Exchange Traded Fund Units. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.5%, MDD -35.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -60.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.5%, MDD -35.8%, Sharpe 0.43, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 25.0%p (CAGR 5.5%, MDD -35.8%, exposure 71%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=166 |
5.5% | -35.8% | 0.43 | 0.15 | 2.7x | 23 | 71% |
| Donchian 채널 돌파 entryN=45, exitN=83 |
5.4% | -38.1% | 0.42 | 0.14 | 2.7x | 31 | 74% |
| SMA 크로스오버 fast=8, slow=261 |
5.0% | -31.2% | 0.42 | 0.16 | 2.5x | 41 | 70% |
| 볼린저 밴드 돌파 n=43, k=3 |
1.5% | -7.4% | 0.42 | 0.20 | 1.3x | 10 | 7% |
| ROC 모멘텀 n=102, threshold=-0.04 |
4.9% | -29.5% | 0.39 | 0.17 | 2.4x | 111 | 76% |
| Supertrend period=19, mult=4.6 |
3.0% | -43.0% | 0.29 | 0.07 | 1.7x | 80 | 63% |
| ADX / DI 방향성 period=48, threshold=10 |
1.8% | -26.1% | 0.23 | 0.07 | 1.4x | 117 | 37% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=3.7 |
0.3% | -5.7% | 0.17 | 0.05 | 1.1x | 6 | 2% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.6% | -52.5% | -0.12 | -0.05 | 0.6x | 181 | 60% |
| MACD fast=17, slow=41, signal=13 |
-3.7% | -57.1% | -0.20 | -0.06 | 0.5x | 255 | 50% |
| Buy and hold | 6.5% | -60.8% | 0.40 | 0.11 | 3.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 166-day EMA
- Sell — Sell when the 54-day EMA falls below the 166-day EMA