Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Terveystalo Oy Class A backtest
10 trend-following strategies were compared on the full daily history of Terveystalo Oy Class A. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.3%, MDD -10.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.2%, drawdown -51.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.3%, MDD -15.9%, Sharpe 0.45, 15% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 1.3%, MDD -10.9%, exposure 3%).
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=14, threshold=31 |
4.3% | -15.9% | 0.45 | 0.27 | 1.4x | 36 | 15% |
| SMA 크로스오버 fast=68, slow=127 |
3.8% | -40.3% | 0.29 | 0.09 | 1.4x | 18 | 50% |
| 볼린저 밴드 돌파 n=24, k=3.4 |
1.3% | -10.9% | 0.29 | 0.12 | 1.1x | 4 | 3% |
| ROC 모멘텀 n=105, threshold=0.05 |
1.3% | -36.8% | 0.16 | 0.04 | 1.1x | 50 | 38% |
| Donchian 채널 돌파 entryN=11, exitN=72 |
0.4% | -42.0% | 0.14 | 0.01 | 1.0x | 28 | 80% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=26, mult=3.2 |
-0.1% | -20.9% | 0.05 | -0.00 | 1.0x | 24 | 22% |
| Supertrend period=24, mult=2.5 |
-1.4% | -29.3% | 0.01 | -0.05 | 0.9x | 68 | 43% |
| EMA 크로스오버 fast=37, slow=218 |
-2.5% | -50.8% | -0.06 | -0.05 | 0.8x | 14 | 43% |
| MACD fast=18, slow=23, signal=12 |
-3.3% | -48.6% | -0.07 | -0.07 | 0.7x | 127 | 51% |
| Parabolic SAR step=0.035, maxStep=0.26 |
-7.7% | -62.3% | -0.33 | -0.12 | 0.5x | 253 | 50% |
| Buy and hold | -3.2% | -51.8% | 0.02 | -0.06 | 0.8x | 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, 14-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)