Trend-Following Backtester · Guide · backtest 한국어
equity · SE
AFRY AB Class B backtest
10 trend-following strategies were compared on the full daily history of AFRY AB Class B. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.0%, MDD -41.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.7%, drawdown -66.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -41.8%, Sharpe 0.50, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 8.0%, MDD -41.0%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=37, exitN=51 |
9.3% | -41.8% | 0.50 | 0.22 | 10.7x | 58 | 61% |
| Supertrend period=16, mult=5 |
8.0% | -46.2% | 0.47 | 0.17 | 7.8x | 72 | 56% |
| SMA 크로스오버 fast=26, slow=59 |
8.0% | -41.0% | 0.46 | 0.20 | 7.8x | 102 | 54% |
| EMA 크로스오버 fast=11, slow=217 |
7.0% | -42.7% | 0.40 | 0.16 | 6.0x | 58 | 65% |
| ROC 모멘텀 n=71, threshold=-0.08 |
7.3% | -57.6% | 0.40 | 0.13 | 6.5x | 192 | 75% |
| 볼린저 밴드 돌파 n=72, k=2.5 |
4.3% | -37.2% | 0.36 | 0.12 | 3.1x | 58 | 29% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=16, mult=3 |
2.8% | -28.3% | 0.30 | 0.10 | 2.1x | 78 | 17% |
| ADX / DI 방향성 period=45, threshold=26 |
0.9% | -26.6% | 0.20 | 0.03 | 1.3x | 8 | 2% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.1% | -64.0% | 0.11 | -0.00 | 1.0x | 220 | 53% |
| MACD fast=17, slow=40, signal=7 |
-7.6% | -88.6% | -0.25 | -0.09 | 0.1x | 477 | 51% |
| Buy and hold | 7.7% | -66.7% | 0.39 | 0.11 | 7.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 37 days
- Sell — Sell when price breaks below the lowest low of the last 51 days