Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Investor AB Class A backtest
10 trend-following strategies were compared on the full daily history of Investor AB Class A. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.1%, MDD -34.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.2%, drawdown -71.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.0%, MDD -37.9%, Sharpe 0.68, 68% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 10.1%, MDD -34.1%, exposure 72%).
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=70, slow=271 |
11.0% | -37.9% | 0.68 | 0.29 | 16.0x | 27 | 68% |
| EMA 크로스오버 fast=63, slow=218 |
10.1% | -34.1% | 0.62 | 0.30 | 12.9x | 23 | 72% |
| ROC 모멘텀 n=191, threshold=-0.04 |
8.6% | -40.9% | 0.55 | 0.21 | 9.0x | 105 | 74% |
| Donchian 채널 돌파 entryN=117, exitN=67 |
6.8% | -36.6% | 0.52 | 0.19 | 5.8x | 37 | 53% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=3.7 |
2.8% | -24.8% | 0.32 | 0.11 | 2.1x | 77 | 31% |
| Supertrend period=21, mult=4.7 |
4.1% | -50.0% | 0.32 | 0.08 | 2.9x | 103 | 63% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
1.8% | -52.8% | 0.20 | 0.03 | 1.6x | 169 | 51% |
| ADX / DI 방향성 period=33, threshold=20 |
1.0% | -19.2% | 0.17 | 0.05 | 1.3x | 56 | 14% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.5% | -61.5% | 0.11 | 0.01 | 1.1x | 251 | 59% |
| MACD fast=19, slow=51, signal=22 |
-1.4% | -58.0% | -0.00 | -0.02 | 0.7x | 285 | 53% |
| Buy and hold | 10.2% | -71.6% | 0.51 | 0.14 | 13.3x | 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 70-day average price crosses above the 271-day average
- Sell — Sell (to cash) when the 70-day average falls below the 271-day average