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. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 21.1%, MDD -39.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 20.6%, drawdown -85.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 24.1%, MDD -50.8%, Sharpe 0.82, 68% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 21.1%, MDD -39.6%, exposure 67%).
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=53, slow=209 |
24.1% | -50.8% | 0.82 | 0.47 | 9.7x | 7 | 68% |
| Supertrend period=11, mult=4.9 |
21.1% | -39.6% | 0.77 | 0.53 | 7.5x | 27 | 67% |
| ADX / DI 방향성 period=14, threshold=25 |
15.2% | -28.5% | 0.76 | 0.53 | 4.4x | 70 | 27% |
| ROC 모멘텀 n=119, threshold=-0.03 |
19.8% | -46.9% | 0.72 | 0.42 | 6.7x | 47 | 68% |
| Donchian 채널 돌파 entryN=10, exitN=78 |
20.9% | -74.7% | 0.68 | 0.28 | 7.4x | 21 | 89% |
| SMA 크로스오버 fast=7, slow=194 |
17.5% | -45.1% | 0.67 | 0.39 | 5.5x | 31 | 65% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=24, mult=1.2 |
9.5% | -49.4% | 0.47 | 0.19 | 2.6x | 89 | 47% |
| 볼린저 밴드 돌파 n=32, k=2.8 |
7.0% | -36.5% | 0.46 | 0.19 | 2.0x | 32 | 19% |
| MACD fast=8, slow=41, signal=18 |
5.5% | -61.1% | 0.33 | 0.09 | 1.8x | 159 | 49% |
| Parabolic SAR step=0.01, maxStep=0.36 |
3.3% | -55.7% | 0.26 | 0.06 | 1.4x | 149 | 48% |
| Buy and hold | 20.6% | -85.6% | 0.65 | 0.24 | 7.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 209-day EMA
- Sell — Sell when the 53-day EMA falls below the 209-day EMA