Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Billerud AB backtest
10 trend-following strategies were compared on the full daily history of Billerud AB. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.6%, MDD -14.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.1%, drawdown -95.5%).
Sharpe leader (same as main): Supertrend — CAGR 6.2%, MDD -56.4%, Sharpe 0.37, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 1.6%, MDD -14.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=4.8 |
6.2% | -56.4% | 0.37 | 0.11 | 5.0x | 83 | 55% |
| Donchian 채널 돌파 entryN=14, exitN=16 |
5.2% | -70.1% | 0.33 | 0.07 | 3.9x | 187 | 57% |
| 볼린저 밴드 돌파 n=34, k=2.4 |
3.8% | -55.0% | 0.31 | 0.07 | 2.7x | 111 | 26% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=9, mult=3.3 |
1.6% | -14.3% | 0.26 | 0.11 | 1.5x | 10 | 2% |
| ADX / DI 방향성 period=25, threshold=25 |
1.1% | -35.5% | 0.16 | 0.03 | 1.3x | 55 | 10% |
| ROC 모멘텀 n=32, threshold=-0.03 |
0.2% | -77.8% | 0.13 | 0.00 | 1.1x | 447 | 65% |
| SMA 크로스오버 fast=56, slow=189 |
-2.7% | -89.6% | 0.10 | -0.03 | 0.5x | 40 | 53% |
| MACD fast=19, slow=44, signal=24 |
-1.1% | -81.3% | 0.07 | -0.01 | 0.8x | 269 | 51% |
| EMA 크로스오버 fast=45, slow=140 |
-3.6% | -85.9% | 0.06 | -0.04 | 0.4x | 48 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-6.1% | -91.8% | -0.02 | -0.07 | 0.2x | 203 | 51% |
| Buy and hold | -0.1% | -95.5% | 0.23 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 16-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)