Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Avanza Bank Holding AB backtest
10 trend-following strategies were compared on the full daily history of Avanza Bank Holding AB. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.1%, MDD -38.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.1%, drawdown -98.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 14.1%, MDD -44.7%, Sharpe 0.73, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.1%, MDD -54.0%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 54.0%p (CAGR 11.1%, MDD -38.6%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=11, mult=1.9 |
14.1% | -44.7% | 0.73 | 0.31 | 33.4x | 169 | 37% |
| SMA 크로스오버 fast=52, slow=128 |
16.1% | -54.0% | 0.70 | 0.30 | 53.9x | 53 | 57% |
| 볼린저 밴드 돌파 n=37, k=2.7 |
11.1% | -38.6% | 0.68 | 0.29 | 16.6x | 88 | 26% |
| Donchian 채널 돌파 entryN=94, exitN=27 |
11.9% | -52.4% | 0.66 | 0.23 | 20.1x | 64 | 34% |
| Supertrend period=12, mult=3.6 |
14.2% | -54.8% | 0.65 | 0.26 | 34.5x | 141 | 54% |
| EMA 크로스오버 fast=8, slow=181 |
14.1% | -56.9% | 0.63 | 0.25 | 33.6x | 79 | 61% |
| Parabolic SAR step=0.01, maxStep=0.14 |
11.7% | -63.0% | 0.56 | 0.19 | 19.1x | 325 | 54% |
| ADX / DI 방향성 period=33, threshold=17 |
9.6% | -50.8% | 0.55 | 0.19 | 11.6x | 108 | 32% |
| ROC 모멘텀 n=126, threshold=0.07 |
11.1% | -54.7% | 0.55 | 0.20 | 16.5x | 205 | 49% |
| MACD fast=18, slow=34, signal=19 |
8.5% | -67.6% | 0.44 | 0.13 | 8.8x | 284 | 53% |
| Buy and hold | 6.1% | -98.7% | 0.50 | 0.06 | 4.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 32-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 32-day average