Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Intrum AB backtest
10 trend-following strategies were compared on the full daily history of Intrum AB. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -35.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.8%, drawdown -99.2%).
Sharpe leader (same as main): Supertrend — CAGR 0.9%, MDD -71.9%, Sharpe 0.18, 54% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.9%, MDD -35.6%, exposure 9%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 27.3%p (CAGR 0.9%, MDD -35.6%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=4.6 |
0.9% | -71.9% | 0.18 | 0.01 | 1.3x | 82 | 54% |
| EMA 크로스오버 fast=31, slow=51 |
0.4% | -75.4% | 0.15 | 0.00 | 1.1x | 82 | 52% |
| SMA 크로스오버 fast=59, slow=87 |
0.2% | -71.1% | 0.15 | 0.00 | 1.1x | 74 | 54% |
| Donchian 채널 돌파 entryN=44, exitN=61 |
-0.2% | -68.0% | 0.14 | -0.00 | 0.9x | 54 | 62% |
| ADX / DI 방향성 period=34, threshold=23 |
0.9% | -35.6% | 0.14 | 0.03 | 1.3x | 30 | 9% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=29, mult=1.6 |
-0.9% | -73.2% | 0.09 | -0.01 | 0.8x | 132 | 43% |
| 볼린저 밴드 돌파 n=58, k=1.4 |
-1.3% | -75.2% | 0.07 | -0.02 | 0.7x | 132 | 39% |
| ROC 모멘텀 n=123, threshold=-0.02 |
-1.8% | -82.3% | 0.06 | -0.02 | 0.7x | 214 | 56% |
| MACD fast=22, slow=46, signal=17 |
-3.6% | -92.7% | 0.03 | -0.04 | 0.4x | 257 | 51% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-4.6% | -91.1% | -0.01 | -0.05 | 0.3x | 402 | 54% |
| Buy and hold | -10.8% | -99.2% | 0.06 | -0.11 | 0.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)