Trend-Following Backtester · Guide · backtest 한국어
equity · SE
AddLife AB Class B backtest
10 trend-following strategies were compared on the full daily history of AddLife AB Class B. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 19.9%, MDD -50.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 20.2%, drawdown -85.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 23.5%, MDD -55.7%, Sharpe 0.80, 68% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 29.9%p (CAGR 19.9%, MDD -50.4%, 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=55, slow=211 |
23.5% | -55.7% | 0.80 | 0.42 | 8.9x | 4 | 68% |
| ROC 모멘텀 n=130, threshold=-0.09 |
19.9% | -50.4% | 0.72 | 0.40 | 6.6x | 39 | 72% |
| Donchian 채널 돌파 entryN=9, exitN=77 |
21.2% | -73.2% | 0.69 | 0.29 | 7.4x | 21 | 89% |
| SMA 크로스오버 fast=6, slow=199 |
16.5% | -45.1% | 0.64 | 0.37 | 4.9x | 34 | 65% |
| Supertrend period=24, mult=4.1 |
15.3% | -48.8% | 0.63 | 0.31 | 4.4x | 41 | 55% |
| ADX / DI 방향성 period=23, threshold=29 |
8.6% | -26.8% | 0.57 | 0.32 | 2.4x | 18 | 14% |
| 볼린저 밴드 돌파 n=33, k=2.8 |
8.4% | -36.9% | 0.50 | 0.23 | 2.3x | 34 | 22% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=26, mult=2.1 |
8.5% | -43.5% | 0.48 | 0.19 | 2.3x | 60 | 30% |
| MACD fast=9, slow=40, signal=17 |
5.6% | -59.8% | 0.33 | 0.09 | 1.8x | 150 | 50% |
| Parabolic SAR step=0.01, maxStep=0.26 |
3.8% | -55.7% | 0.27 | 0.07 | 1.5x | 146 | 49% |
| Buy and hold | 20.2% | -85.6% | 0.64 | 0.24 | 6.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 211-day EMA
- Sell — Sell when the 55-day EMA falls below the 211-day EMA