Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Creades AB Class A backtest
10 trend-following strategies were compared on the full daily history of Creades AB Class A. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 16.1%, MDD -48.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.8%, drawdown -61.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.1%, MDD -48.4%, Sharpe 0.67, 88% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 13.2%p (CAGR 16.1%, MDD -48.4%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=127, threshold=-0.15 |
16.1% | -48.4% | 0.67 | 0.33 | 8.6x | 25 | 88% |
| EMA 크로스오버 fast=56, slow=199 |
12.9% | -54.9% | 0.60 | 0.23 | 5.8x | 15 | 67% |
| SMA 크로스오버 fast=66, slow=161 |
12.7% | -45.4% | 0.60 | 0.28 | 5.6x | 23 | 63% |
| 볼린저 밴드 돌파 n=50, k=1.8 |
7.0% | -49.0% | 0.45 | 0.14 | 2.7x | 65 | 36% |
| ADX / DI 방향성 period=37, threshold=10 |
6.3% | -47.0% | 0.40 | 0.13 | 2.4x | 107 | 36% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=28, mult=2 |
5.7% | -56.6% | 0.38 | 0.10 | 2.2x | 63 | 37% |
| Donchian 채널 돌파 entryN=39, exitN=49 |
5.6% | -49.9% | 0.35 | 0.11 | 2.2x | 39 | 61% |
| Supertrend period=25, mult=4.6 |
5.0% | -51.2% | 0.34 | 0.10 | 2.0x | 47 | 51% |
| MACD fast=15, slow=36, signal=19 |
2.9% | -55.2% | 0.24 | 0.05 | 1.5x | 169 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
1.5% | -69.7% | 0.18 | 0.02 | 1.2x | 267 | 53% |
| Buy and hold | 13.8% | -61.6% | 0.57 | 0.22 | 6.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 127-day return is greater than -15%
- Sell — Sell when the 127-day return drops to -15% or below