Trend-Following Backtester · Guide · backtest 한국어

equity · SE

Embracer Group AB Class B backtest

10 trend-following strategies were compared on the full daily history of Embracer Group AB Class B. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 19.3%, MDD -54.8%).

Data 2016-11-22 ~ 2026-07-30daily bars 2,433 (9.7 years)Costs 0.5%Venue OMXSTOMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 10.2%, drawdown -94.5%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 24.4%, MDD -55.0%, Sharpe 0.76, 49% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 39.5%p (CAGR 19.3%, MDD -54.8%, exposure 43%).

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
EMA 크로스오버
fast=47, slow=98
24.4%-55.0%0.760.448.3x1349%
ROC 모멘텀
n=105, threshold=0.09
21.8%-55.0%0.720.406.8x4144%
SMA 크로스오버
fast=22, slow=99
20.9%-74.5%0.680.286.3x2154%
ADX / DI 방향성
period=28, threshold=15
19.3%-54.8%0.660.355.5x6143%
Donchian 채널 돌파
entryN=87, exitN=58
16.8%-64.0%0.610.264.5x1147%
Supertrend
period=8, mult=3
7.6%-84.2%0.390.092.0x5951%
Keltner 채널 돌파
emaPeriod=37, atrPeriod=13, mult=4
6.9%-28.6%0.390.241.9x1816%
볼린저 밴드 돌파
n=41, k=1.1
7.2%-74.4%0.380.102.0x6741%
Parabolic SAR
step=0.015, maxStep=0.32
1.2%-88.5%0.250.011.1x16751%
MACD
fast=26, slow=40, signal=23
0.2%-76.1%0.220.001.0x8748%
Buy and hold10.2%-94.5%0.470.112.6x1100%
1x 10x 2017 2019 2021 2023 2025 EMA 크로스오버Buy and hold
EMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -47% -71% -94% 2017 2019 2021 2023 2025 Buy and holdEMA 크로스오버
EMA 크로스오버 maximum drawdown -55.0% (2021-05-03 → 2026-06-23), prior peak not yet recovered.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

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

Read next