Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Bure Equity AB backtest
10 trend-following strategies were compared on the full daily history of Bure Equity AB. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.7%, MDD -36.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.4%, drawdown -98.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.7%, MDD -57.8%, Sharpe 0.61, 60% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 4.7%, MDD -36.6%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=207 |
11.7% | -57.8% | 0.61 | 0.20 | 18.9x | 19 | 60% |
| Supertrend period=26, mult=4.7 |
10.0% | -49.7% | 0.54 | 0.20 | 12.7x | 80 | 53% |
| ROC 모멘텀 n=128, threshold=-0.04 |
10.3% | -58.8% | 0.53 | 0.17 | 13.4x | 145 | 66% |
| Donchian 채널 돌파 entryN=49, exitN=32 |
9.1% | -47.2% | 0.52 | 0.19 | 10.0x | 68 | 52% |
| SMA 크로스오버 fast=10, slow=117 |
8.8% | -56.4% | 0.49 | 0.16 | 9.5x | 93 | 57% |
| 볼린저 밴드 돌파 n=56, k=1.9 |
7.5% | -37.7% | 0.49 | 0.20 | 6.8x | 106 | 37% |
| Parabolic SAR step=0.01, maxStep=0.22 |
9.3% | -61.5% | 0.48 | 0.15 | 10.7x | 328 | 50% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=20, mult=3.1 |
4.7% | -36.6% | 0.42 | 0.13 | 3.4x | 84 | 17% |
| ADX / DI 방향성 period=43, threshold=14 |
3.6% | -38.1% | 0.31 | 0.10 | 2.6x | 131 | 25% |
| MACD fast=22, slow=51, signal=18 |
-1.8% | -96.1% | 0.09 | -0.02 | 0.6x | 242 | 51% |
| Buy and hold | 1.4% | -98.1% | 0.23 | 0.01 | 1.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 207-day EMA
- Sell — Sell when the 58-day EMA falls below the 207-day EMA