Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Mycronic AB backtest
10 trend-following strategies were compared on the full daily history of Mycronic AB. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.8%, MDD -49.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.3%, drawdown -98.8%).
Sharpe leader (same as main): Supertrend — CAGR 20.1%, MDD -50.0%, Sharpe 0.75, 49% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 18.8%, MDD -49.4%, exposure 52%).
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=16, mult=5 |
20.1% | -50.0% | 0.75 | 0.40 | 125.3x | 67 | 49% |
| SMA 크로스오버 fast=24, slow=90 |
18.8% | -49.4% | 0.72 | 0.38 | 93.6x | 71 | 52% |
| Donchian 채널 돌파 entryN=45, exitN=34 |
17.3% | -55.6% | 0.68 | 0.31 | 66.9x | 71 | 50% |
| ROC 모멘텀 n=79, threshold=-0.01 |
17.6% | -60.7% | 0.67 | 0.29 | 71.5x | 219 | 55% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=24, mult=3 |
14.0% | -56.0% | 0.67 | 0.25 | 31.8x | 88 | 30% |
| 볼린저 밴드 돌파 n=45, k=2.1 |
14.3% | -55.6% | 0.65 | 0.26 | 34.3x | 114 | 35% |
| EMA 크로스오버 fast=16, slow=63 |
15.6% | -51.9% | 0.62 | 0.30 | 46.1x | 101 | 52% |
| ADX / DI 방향성 period=16, threshold=11 |
15.1% | -61.5% | 0.61 | 0.24 | 40.5x | 450 | 48% |
| MACD fast=9, slow=38, signal=19 |
6.3% | -84.6% | 0.34 | 0.07 | 5.0x | 374 | 52% |
| Parabolic SAR step=0.04, maxStep=0.3 |
5.2% | -68.7% | 0.31 | 0.08 | 3.8x | 774 | 51% |
| Buy and hold | 3.3% | -98.8% | 0.32 | 0.03 | 2.4x | 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) — 16-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)