Trend-Following Backtester · Guide · backtest 한국어

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BONESUPPORT HOLDING AB backtest

10 trend-following strategies were compared on the full daily history of BONESUPPORT HOLDING AB. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.5%, MDD -38.9%).

Data 2017-06-21 ~ 2026-07-31daily bars 2,289 (9.1 years)Costs 0.5%Venue OMXSTOMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 23.5%, drawdown -71.2%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 31.8%, MDD -42.1%, Sharpe 0.97, 63% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 23.5%, MDD -38.9%, exposure 50%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=176, threshold=0.02
31.8%-42.1%0.970.7612.4x1963%
SMA 크로스오버
fast=25, slow=55
29.2%-43.2%0.880.6810.3x3261%
ADX / DI 방향성
period=30, threshold=15
23.5%-38.9%0.810.616.9x6050%
EMA 크로스오버
fast=68, slow=210
25.3%-53.8%0.790.477.8x465%
Donchian 채널 돌파
entryN=7, exitN=47
27.6%-67.5%0.750.419.2x3184%
Supertrend
period=17, mult=3
21.4%-42.0%0.720.515.8x4854%
볼린저 밴드 돌파
n=47, k=3.1
13.1%-25.8%0.600.513.1x2226%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=14, mult=1.7
13.8%-42.9%0.550.323.3x5049%
MACD
fast=17, slow=55, signal=7
9.5%-63.7%0.430.152.3x13951%
Parabolic SAR
step=0.015, maxStep=0.24
7.8%-56.9%0.380.142.0x16451%
Buy and hold23.5%-71.2%0.670.336.8x1100%
1x 10x 2018 2020 2022 2024 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -36% -53% -71% 2018 2020 2022 2024 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -42.1% (2025-01-03 → 2025-05-12), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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