Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Indutrade AB backtest
10 trend-following strategies were compared on the full daily history of Indutrade AB. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.6%, drawdown -63.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -40.3%, Sharpe 0.56, 67% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=17, slow=205 |
10.6% | -40.3% | 0.56 | 0.26 | 8.2x | 43 | 67% |
| EMA 크로스오버 fast=47, slow=204 |
10.5% | -47.3% | 0.54 | 0.22 | 8.0x | 26 | 72% |
| Supertrend period=20, mult=5 |
8.8% | -57.1% | 0.51 | 0.15 | 5.8x | 61 | 54% |
| Donchian 채널 돌파 entryN=116, exitN=70 |
8.9% | -51.4% | 0.50 | 0.17 | 5.9x | 26 | 61% |
| ROC 모멘텀 n=149, threshold=-0.03 |
8.7% | -49.3% | 0.46 | 0.18 | 5.6x | 127 | 72% |
| 볼린저 밴드 돌파 n=39, k=2.2 |
6.2% | -37.7% | 0.45 | 0.16 | 3.5x | 91 | 34% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=27, mult=2.3 |
5.1% | -54.8% | 0.37 | 0.09 | 2.8x | 101 | 41% |
| Parabolic SAR step=0.005, maxStep=0.28 |
4.6% | -48.9% | 0.31 | 0.09 | 2.6x | 183 | 56% |
| ADX / DI 방향성 period=25, threshold=11 |
2.6% | -47.7% | 0.23 | 0.05 | 1.7x | 281 | 51% |
| MACD fast=19, slow=35, signal=16 |
1.9% | -58.3% | 0.20 | 0.03 | 1.5x | 259 | 51% |
| Buy and hold | 17.6% | -63.3% | 0.67 | 0.28 | 29.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 17-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 17-day average falls below the 205-day average