Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Telefonaktiebolaget LM Ericsson Class A backtest
10 trend-following strategies were compared on the full daily history of Telefonaktiebolaget LM Ericsson Class A. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.0%, MDD -20.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.0%, drawdown -97.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.2%, MDD -21.5%, Sharpe 0.25, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.6%, MDD -49.7%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 75.9%p (CAGR 1.0%, MDD -20.8%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=25 |
1.2% | -21.5% | 0.25 | 0.06 | 1.4x | 8 | 3% |
| SMA 크로스오버 fast=54, slow=370 |
2.6% | -49.7% | 0.23 | 0.05 | 2.0x | 21 | 49% |
| Supertrend period=19, mult=5 |
2.6% | -56.9% | 0.22 | 0.04 | 2.0x | 78 | 42% |
| EMA 크로스오버 fast=26, slow=154 |
2.5% | -43.2% | 0.22 | 0.06 | 1.9x | 46 | 48% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
1.0% | -20.8% | 0.18 | 0.05 | 1.3x | 26 | 4% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=24, mult=3.2 |
0.9% | -43.1% | 0.15 | 0.02 | 1.3x | 52 | 7% |
| ROC 모멘텀 n=198, threshold=0.05 |
0.2% | -72.2% | 0.11 | 0.00 | 1.1x | 159 | 39% |
| Donchian 채널 돌파 entryN=60, exitN=66 |
-1.2% | -74.6% | 0.07 | -0.02 | 0.7x | 54 | 51% |
| MACD fast=24, slow=56, signal=21 |
-10.8% | -96.1% | -0.24 | -0.11 | 0.0x | 234 | 53% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-12.4% | -98.0% | -0.33 | -0.13 | 0.0x | 464 | 50% |
| Buy and hold | -6.0% | -97.4% | 0.05 | -0.06 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)