Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Essity AB Class A backtest
10 trend-following strategies were compared on the full daily history of Essity AB Class A. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.6%, MDD -8.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.2%, drawdown -33.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.6%, MDD -8.4%, Sharpe 0.31, 8% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 1.6%, MDD -8.4%, exposure 8%).
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=104, threshold=0.18 |
1.6% | -8.4% | 0.31 | 0.20 | 1.2x | 20 | 8% |
| Parabolic SAR step=0.005, maxStep=0.1 |
1.3% | -33.3% | 0.16 | 0.04 | 1.1x | 69 | 48% |
| Donchian 채널 돌파 entryN=20, exitN=38 |
1.1% | -30.9% | 0.15 | 0.03 | 1.1x | 31 | 61% |
| ADX / DI 방향성 period=23, threshold=35 |
0.3% | -7.9% | 0.11 | 0.03 | 1.0x | 2 | 2% |
| EMA 크로스오버 fast=27, slow=40 |
-0.5% | -37.8% | 0.04 | -0.01 | 1.0x | 35 | 52% |
| SMA 크로스오버 fast=17, slow=58 |
-0.8% | -32.4% | 0.02 | -0.03 | 0.9x | 41 | 51% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
0.0% | -8.3% | 0.01 | 0.00 | 1.0x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=27, mult=4 |
-0.2% | -10.2% | -0.02 | -0.02 | 1.0x | 6 | 4% |
| MACD fast=23, slow=55, signal=18 |
-1.4% | -38.8% | -0.02 | -0.04 | 0.9x | 90 | 46% |
| Supertrend period=21, mult=4.7 |
-3.9% | -42.0% | -0.20 | -0.09 | 0.7x | 33 | 48% |
| Buy and hold | 1.2% | -33.2% | 0.17 | 0.04 | 1.1x | 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 104-day return is greater than 18%
- Sell — Sell when the 104-day return drops to 18% or below