Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Getinge AB Class B backtest
10 trend-following strategies were compared on the full daily history of Getinge AB Class B. 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 10.7%, drawdown -61.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.9%, MDD -23.0%, Sharpe 0.45, 13% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.3%, MDD -73.0%, exposure 70%.
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=39, k=3.3 |
3.9% | -23.0% | 0.45 | 0.17 | 2.8x | 37 | 13% |
| ADX / DI 방향성 period=39, threshold=28 |
2.0% | -10.8% | 0.41 | 0.19 | 1.7x | 10 | 4% |
| ROC 모멘텀 n=185, threshold=-0.05 |
7.3% | -73.0% | 0.40 | 0.10 | 6.5x | 157 | 70% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=9, mult=3.2 |
4.2% | -47.0% | 0.35 | 0.09 | 3.0x | 83 | 30% |
| Donchian 채널 돌파 entryN=7, exitN=26 |
5.0% | -67.6% | 0.31 | 0.07 | 3.6x | 183 | 80% |
| EMA 크로스오버 fast=94, slow=232 |
4.7% | -67.3% | 0.31 | 0.07 | 3.4x | 29 | 64% |
| SMA 크로스오버 fast=58, slow=135 |
4.1% | -69.9% | 0.29 | 0.06 | 2.9x | 57 | 55% |
| MACD fast=23, slow=74, signal=25 |
1.2% | -70.9% | 0.16 | 0.02 | 1.4x | 221 | 53% |
| Supertrend period=21, mult=3.5 |
0.3% | -69.9% | 0.13 | 0.00 | 1.1x | 151 | 57% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.6% | -81.9% | -0.02 | -0.03 | 0.5x | 227 | 52% |
| Buy and hold | 10.7% | -61.5% | 0.48 | 0.17 | 15.1x | 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 39-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 39-day middle average