Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Addtech AB Class B backtest
10 trend-following strategies were compared on the full daily history of Addtech AB Class B. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.7%, MDD -45.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.5%, drawdown -95.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.8%, MDD -47.1%, Sharpe 0.64, 69% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 48.3%p (CAGR 12.7%, MDD -45.0%, exposure 72%).
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=17, slow=116 |
13.8% | -47.1% | 0.64 | 0.29 | 31.1x | 65 | 69% |
| Donchian 채널 돌파 entryN=60, exitN=74 |
12.7% | -45.0% | 0.59 | 0.28 | 24.3x | 41 | 72% |
| SMA 크로스오버 fast=56, slow=183 |
5.4% | -93.4% | 0.45 | 0.06 | 4.1x | 27 | 71% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=26, mult=2.6 |
6.0% | -38.0% | 0.40 | 0.16 | 4.8x | 114 | 42% |
| Supertrend period=27, mult=5 |
6.6% | -68.7% | 0.39 | 0.10 | 5.6x | 91 | 60% |
| ROC 모멘텀 n=137, threshold=0.02 |
6.1% | -53.9% | 0.36 | 0.11 | 4.8x | 219 | 68% |
| ADX / DI 방향성 period=37, threshold=9 |
5.4% | -52.3% | 0.34 | 0.10 | 4.0x | 266 | 50% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
4.2% | -44.8% | 0.31 | 0.09 | 3.0x | 128 | 42% |
| MACD fast=10, slow=24, signal=10 |
0.9% | -69.4% | 0.16 | 0.01 | 1.3x | 558 | 51% |
| Parabolic SAR step=0.025, maxStep=0.32 |
0.8% | -71.9% | 0.15 | 0.01 | 1.2x | 607 | 54% |
| Buy and hold | 8.5% | -95.4% | 0.50 | 0.09 | 8.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 17-day EMA crosses above the 116-day EMA
- Sell — Sell when the 17-day EMA falls below the 116-day EMA