Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Epiroc AB Class A backtest
10 trend-following strategies were compared on the full daily history of Epiroc AB Class A. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -37.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.3%, MDD -7.7%, Sharpe 0.64, 6% exposure.
CAGR reference leader: Supertrend — CAGR 8.2%, MDD -24.5%, exposure 57%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=42, k=3.5 |
3.3% | -7.7% | 0.64 | 0.43 | 1.3x | 2 | 6% |
| Supertrend period=12, mult=3.4 |
8.2% | -24.5% | 0.48 | 0.33 | 1.9x | 46 | 57% |
| SMA 크로스오버 fast=58, slow=194 |
4.4% | -42.2% | 0.30 | 0.10 | 1.4x | 15 | 64% |
| MACD fast=18, slow=53, signal=15 |
4.0% | -35.0% | 0.30 | 0.11 | 1.4x | 86 | 49% |
| Donchian 채널 돌파 entryN=88, exitN=63 |
3.8% | -25.1% | 0.29 | 0.15 | 1.4x | 13 | 51% |
| ROC 모멘텀 n=103, threshold=0.05 |
3.0% | -43.2% | 0.25 | 0.07 | 1.3x | 82 | 47% |
| ADX / DI 방향성 period=38, threshold=24 |
1.0% | -15.4% | 0.23 | 0.07 | 1.1x | 6 | 4% |
| EMA 크로스오버 fast=22, slow=100 |
1.9% | -53.1% | 0.19 | 0.03 | 1.2x | 26 | 64% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=14, mult=4 |
0.4% | -6.6% | 0.12 | 0.06 | 1.0x | 4 | 3% |
| Parabolic SAR step=0.025, maxStep=0.22 |
-0.6% | -38.3% | 0.08 | -0.02 | 0.9x | 201 | 54% |
| Buy and hold | 12.9% | -37.5% | 0.56 | 0.34 | 2.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 42-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 42-day middle average