Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Alfa Laval AB backtest
10 trend-following strategies were compared on the full daily history of Alfa Laval AB. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.0%, MDD -36.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.8%, drawdown -64.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.0%, MDD -40.8%, Sharpe 0.58, 68% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.0%, MDD -36.8%, exposure 64%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 23.7%p (CAGR 11.0%, MDD -36.8%, exposure 64%).
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=12, slow=158 |
11.0% | -40.8% | 0.58 | 0.27 | 12.4x | 53 | 68% |
| SMA 크로스오버 fast=30, slow=98 |
11.0% | -36.8% | 0.57 | 0.30 | 12.4x | 69 | 64% |
| Donchian 채널 돌파 entryN=31, exitN=61 |
11.0% | -43.7% | 0.54 | 0.25 | 12.4x | 51 | 76% |
| ROC 모멘텀 n=78, threshold=-0.08 |
9.5% | -55.6% | 0.48 | 0.17 | 9.1x | 165 | 80% |
| Supertrend period=25, mult=5 |
7.9% | -39.8% | 0.46 | 0.20 | 6.3x | 71 | 61% |
| ADX / DI 방향성 period=38, threshold=20 |
2.9% | -34.2% | 0.35 | 0.09 | 2.0x | 34 | 13% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=18, mult=3.5 |
4.1% | -37.0% | 0.33 | 0.11 | 2.7x | 70 | 39% |
| 볼린저 밴드 돌파 n=59, k=1.9 |
3.0% | -44.0% | 0.25 | 0.07 | 2.0x | 110 | 45% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.1% | -70.0% | 0.16 | 0.02 | 1.3x | 214 | 57% |
| MACD fast=32, slow=38, signal=21 |
-3.6% | -77.1% | -0.05 | -0.05 | 0.4x | 240 | 51% |
| Buy and hold | 13.8% | -64.5% | 0.56 | 0.21 | 22.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 12-day EMA crosses above the 158-day EMA
- Sell — Sell when the 12-day EMA falls below the 158-day EMA