Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Altra Fastigheter AB backtest
10 trend-following strategies were compared on the full daily history of Altra Fastigheter AB. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.8%, MDD -18.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.2%, drawdown -72.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.8%, MDD -18.6%, Sharpe 1.09, 18% exposure.
CAGR reference leader: Supertrend — CAGR 20.7%, MDD -37.0%, exposure 60%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 12.8%, MDD -18.6%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=2.7 |
12.8% | -18.6% | 1.09 | 0.69 | 2.5x | 19 | 18% |
| Supertrend period=13, mult=3.6 |
20.7% | -37.0% | 0.89 | 0.56 | 4.3x | 31 | 60% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=27, mult=1.9 |
13.8% | -42.0% | 0.86 | 0.33 | 2.7x | 39 | 33% |
| Donchian 채널 돌파 entryN=80, exitN=39 |
15.2% | -32.3% | 0.81 | 0.47 | 3.0x | 11 | 42% |
| EMA 크로스오버 fast=7, slow=79 |
15.5% | -35.6% | 0.76 | 0.44 | 3.0x | 27 | 53% |
| SMA 크로스오버 fast=6, slow=106 |
13.8% | -38.1% | 0.69 | 0.36 | 2.7x | 27 | 51% |
| ADX / DI 방향성 period=13, threshold=41 |
5.5% | -12.5% | 0.62 | 0.44 | 1.5x | 18 | 9% |
| ROC 모멘텀 n=120, threshold=0.14 |
10.5% | -31.6% | 0.62 | 0.33 | 2.2x | 32 | 37% |
| Parabolic SAR step=0.03, maxStep=0.12 |
9.1% | -51.7% | 0.47 | 0.18 | 2.0x | 177 | 52% |
| MACD fast=11, slow=43, signal=8 |
7.9% | -46.7% | 0.42 | 0.17 | 1.8x | 137 | 48% |
| Buy and hold | 8.2% | -72.2% | 0.40 | 0.11 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 25-day middle average