Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Medicover AB Class B backtest
10 trend-following strategies were compared on the full daily history of Medicover AB Class B. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.7%, MDD -41.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.8%, drawdown -69.6%).
Sharpe leader (same as main): Supertrend — CAGR 16.7%, MDD -41.4%, Sharpe 0.69, 67% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 16.7%, MDD -41.4%, exposure 67%).
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=21, mult=4.7 |
16.7% | -41.4% | 0.69 | 0.40 | 4.2x | 19 | 67% |
| SMA 크로스오버 fast=53, slow=86 |
15.3% | -45.8% | 0.65 | 0.33 | 3.8x | 21 | 58% |
| Donchian 채널 돌파 entryN=29, exitN=62 |
15.8% | -54.7% | 0.65 | 0.29 | 4.0x | 15 | 71% |
| 볼린저 밴드 돌파 n=71, k=1.2 |
13.5% | -31.5% | 0.65 | 0.43 | 3.3x | 35 | 47% |
| EMA 크로스오버 fast=29, slow=66 |
13.4% | -50.0% | 0.59 | 0.27 | 3.3x | 25 | 63% |
| ADX / DI 방향성 period=25, threshold=9 |
12.6% | -48.1% | 0.57 | 0.26 | 3.0x | 125 | 58% |
| ROC 모멘텀 n=83, threshold=0.03 |
11.6% | -37.1% | 0.56 | 0.31 | 2.8x | 93 | 53% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=12, mult=3.6 |
1.6% | -4.2% | 0.52 | 0.39 | 1.2x | 2 | 1% |
| MACD fast=17, slow=59, signal=10 |
2.7% | -55.5% | 0.23 | 0.05 | 1.3x | 119 | 46% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-1.1% | -61.8% | 0.09 | -0.02 | 0.9x | 173 | 53% |
| Buy and hold | 15.8% | -69.6% | 0.58 | 0.23 | 3.9x | 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) — 21-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)