Trend-Following Backtester · Guide · backtest 한국어

equity · SE

Bufab AB backtest

10 trend-following strategies were compared on the full daily history of Bufab AB. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 26.0%, MDD -39.0%).

Data 2014-02-21 ~ 2026-07-31daily bars 3,124 (12.4 years)Costs 0.5%Venue OMXSTOMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 23.4%, drawdown -57.1%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 26.0%, MDD -39.0%, Sharpe 0.85, 95% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 26.0%, MDD -39.0%, exposure 95%).

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=11, threshold=-0.1
26.0%-39.0%0.850.6717.8x6995%
SMA 크로스오버
fast=33, slow=78
18.7%-33.3%0.760.568.4x3362%
Donchian 채널 돌파
entryN=54, exitN=70
18.8%-33.5%0.750.568.5x1767%
EMA 크로스오버
fast=19, slow=140
16.4%-34.7%0.680.476.6x2566%
Supertrend
period=15, mult=4.1
15.1%-33.5%0.670.455.8x4357%
ADX / DI 방향성
period=20, threshold=12
13.2%-33.4%0.610.404.7x16752%
MACD
fast=12, slow=41, signal=19
9.8%-45.7%0.500.213.2x15349%
Keltner 채널 돌파
emaPeriod=55, atrPeriod=28, mult=1
8.0%-50.7%0.430.162.6x10153%
볼린저 밴드 돌파
n=38, k=1.2
7.1%-41.8%0.400.172.3x11748%
Parabolic SAR
step=0.02, maxStep=0.12
5.4%-52.2%0.330.101.9x23951%
Buy and hold23.4%-57.1%0.760.4113.7x1100%
1x 10x 2015 2017 2019 2021 2023 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -14% -29% -43% -57% 2015 2017 2019 2021 2023 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -39.0% (2022-01-03 → 2022-10-07), recovered after 476 days.

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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