Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Industrivarden AB Class A backtest
10 trend-following strategies were compared on the full daily history of Industrivarden AB Class A. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.1%, MDD -31.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.8%, drawdown -72.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -38.9%, Sharpe 0.59, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 7.1%, MDD -31.0%, exposure 50%).
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=46, slow=215 |
9.3% | -38.9% | 0.59 | 0.24 | 10.6x | 29 | 62% |
| EMA 크로스오버 fast=58, slow=133 |
8.4% | -35.2% | 0.54 | 0.24 | 8.6x | 27 | 63% |
| Donchian 채널 돌파 entryN=96, exitN=60 |
7.1% | -31.0% | 0.52 | 0.23 | 6.2x | 41 | 50% |
| Supertrend period=16, mult=5 |
6.8% | -43.4% | 0.48 | 0.16 | 5.7x | 77 | 53% |
| Keltner 채널 돌파 emaPeriod=92, atrPeriod=7, mult=2.4 |
4.6% | -36.9% | 0.38 | 0.12 | 3.3x | 99 | 48% |
| ROC 모멘텀 n=134, threshold=-0.01 |
2.4% | -48.8% | 0.22 | 0.05 | 1.9x | 193 | 62% |
| 볼린저 밴드 돌파 n=46, k=2 |
1.6% | -37.0% | 0.19 | 0.04 | 1.5x | 117 | 34% |
| ADX / DI 방향성 period=31, threshold=32 |
0.0% | -11.8% | 0.02 | 0.00 | 1.0x | 8 | 2% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.8% | -77.5% | -0.06 | -0.04 | 0.5x | 263 | 55% |
| MACD fast=21, slow=23, signal=18 |
-5.8% | -85.0% | -0.21 | -0.07 | 0.2x | 354 | 52% |
| Buy and hold | 6.8% | -72.0% | 0.37 | 0.09 | 5.7x | 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 46-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 46-day average falls below the 215-day average