Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Cloetta AB Class B backtest
10 trend-following strategies were compared on the full daily history of Cloetta AB Class B. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -57.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.9%, MDD -44.2%, Sharpe 0.39, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=56, exitN=75 |
5.9% | -44.2% | 0.39 | 0.13 | 2.8x | 25 | 59% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=27, mult=3.3 |
1.5% | -9.3% | 0.38 | 0.16 | 1.3x | 16 | 3% |
| EMA 크로스오버 fast=16, slow=129 |
5.6% | -50.4% | 0.37 | 0.11 | 2.7x | 43 | 58% |
| Supertrend period=19, mult=4.9 |
5.5% | -51.2% | 0.37 | 0.11 | 2.6x | 42 | 54% |
| SMA 크로스오버 fast=5, slow=209 |
4.8% | -49.1% | 0.33 | 0.10 | 2.3x | 47 | 56% |
| ROC 모멘텀 n=90, threshold=-0.03 |
3.9% | -48.7% | 0.29 | 0.08 | 2.0x | 137 | 65% |
| ADX / DI 방향성 period=37, threshold=29 |
0.8% | -6.2% | 0.27 | 0.13 | 1.1x | 8 | 1% |
| 볼린저 밴드 돌파 n=53, k=2.3 |
2.9% | -29.6% | 0.27 | 0.10 | 1.7x | 62 | 30% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-1.1% | -73.3% | 0.05 | -0.02 | 0.8x | 134 | 54% |
| MACD fast=14, slow=36, signal=17 |
-4.1% | -79.3% | -0.13 | -0.05 | 0.5x | 212 | 49% |
| Buy and hold | 9.5% | -57.7% | 0.46 | 0.17 | 5.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 56 days
- Sell — Sell when price breaks below the lowest low of the last 75 days