Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Elekta AB Class B backtest
10 trend-following strategies were compared on the full daily history of Elekta AB Class B. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 11.6%, drawdown -71.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -65.8%, Sharpe 0.56, 67% 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=62, exitN=90 |
13.2% | -65.8% | 0.56 | 0.20 | 26.7x | 32 | 67% |
| 볼린저 밴드 돌파 n=75, k=3.5 |
6.3% | -24.7% | 0.53 | 0.25 | 5.0x | 10 | 9% |
| EMA 크로스오버 fast=11, slow=166 |
9.9% | -59.5% | 0.48 | 0.17 | 12.2x | 70 | 60% |
| SMA 크로스오버 fast=46, slow=144 |
9.5% | -65.5% | 0.46 | 0.15 | 11.2x | 44 | 57% |
| ROC 모멘텀 n=130, threshold=0.01 |
6.8% | -65.1% | 0.38 | 0.10 | 5.7x | 214 | 57% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=17, mult=3.7 |
2.7% | -24.6% | 0.36 | 0.11 | 2.0x | 14 | 4% |
| MACD fast=47, slow=74, signal=23 |
6.3% | -66.3% | 0.36 | 0.10 | 5.1x | 148 | 53% |
| Supertrend period=22, mult=4.7 |
4.5% | -63.9% | 0.29 | 0.07 | 3.2x | 86 | 57% |
| ADX / DI 방향성 period=39, threshold=25 |
1.3% | -14.5% | 0.27 | 0.09 | 1.4x | 6 | 3% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.7% | -76.0% | 0.20 | 0.02 | 1.6x | 242 | 53% |
| Buy and hold | 11.6% | -71.6% | 0.48 | 0.16 | 18.7x | 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 62 days
- Sell — Sell when price breaks below the lowest low of the last 90 days