Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Atlas Copco AB Class A backtest
10 trend-following strategies were compared on the full daily history of Atlas Copco AB Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.9%, MDD -40.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -63.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.9%, MDD -40.6%, Sharpe 0.58, 69% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 23.2%p (CAGR 11.9%, MDD -40.6%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=67, slow=252 |
11.9% | -40.6% | 0.58 | 0.29 | 20.0x | 25 | 69% |
| EMA 크로스오버 fast=54, slow=87 |
9.6% | -42.9% | 0.51 | 0.22 | 11.5x | 49 | 68% |
| Donchian 채널 돌파 entryN=60, exitN=77 |
8.3% | -43.8% | 0.46 | 0.19 | 8.2x | 41 | 66% |
| ROC 모멘텀 n=148, threshold=-0.08 |
8.2% | -66.8% | 0.43 | 0.12 | 8.2x | 125 | 78% |
| Supertrend period=37, mult=4.8 |
7.5% | -54.6% | 0.42 | 0.14 | 6.9x | 77 | 63% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=21, mult=3.9 |
0.8% | -9.3% | 0.22 | 0.08 | 1.2x | 8 | 2% |
| ADX / DI 방향성 period=45, threshold=12 |
2.1% | -52.0% | 0.22 | 0.04 | 1.7x | 130 | 35% |
| 볼린저 밴드 돌파 n=47, k=3.4 |
0.8% | -11.7% | 0.20 | 0.07 | 1.3x | 10 | 3% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.4% | -73.8% | 0.01 | -0.03 | 0.5x | 253 | 58% |
| MACD fast=15, slow=43, signal=20 |
-3.2% | -85.4% | -0.03 | -0.04 | 0.4x | 325 | 53% |
| Buy and hold | 12.8% | -63.8% | 0.52 | 0.20 | 24.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 67-day average price crosses above the 252-day average
- Sell — Sell (to cash) when the 67-day average falls below the 252-day average