Trend-Following Backtester · Guide · backtest 한국어
equity · SE
MilDef Group AB backtest
10 trend-following strategies were compared on the full daily history of MilDef Group AB. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 41.7%, drawdown -61.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 29.9%, MDD -39.6%, Sharpe 0.88, 39% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 34.9%, MDD -51.8%, exposure 59%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=115, exitN=34 |
29.9% | -39.6% | 0.88 | 0.76 | 3.9x | 5 | 39% |
| SMA 크로스오버 fast=57, slow=92 |
34.9% | -51.8% | 0.86 | 0.67 | 4.8x | 15 | 59% |
| Supertrend period=10, mult=3.9 |
33.7% | -52.3% | 0.84 | 0.64 | 4.6x | 19 | 65% |
| 볼린저 밴드 돌파 n=46, k=3 |
17.5% | -31.3% | 0.74 | 0.56 | 2.3x | 10 | 24% |
| ADX / DI 방향성 period=30, threshold=26 |
12.1% | -20.3% | 0.67 | 0.60 | 1.8x | 4 | 11% |
| Parabolic SAR step=0.025, maxStep=0.18 |
21.1% | -42.0% | 0.66 | 0.50 | 2.7x | 115 | 49% |
| ROC 모멘텀 n=180, threshold=0.02 |
20.8% | -53.7% | 0.64 | 0.39 | 2.7x | 39 | 59% |
| MACD fast=9, slow=32, signal=6 |
14.1% | -45.4% | 0.52 | 0.31 | 2.0x | 119 | 45% |
| EMA 크로스오버 fast=32, slow=136 |
13.8% | -58.4% | 0.51 | 0.24 | 2.0x | 11 | 58% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=37, mult=1.6 |
6.0% | -47.3% | 0.34 | 0.13 | 1.4x | 33 | 45% |
| Buy and hold | 41.7% | -61.4% | 0.88 | 0.68 | 6.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 115 days
- Sell — Sell when price breaks below the lowest low of the last 34 days