Trend-Following Backtester · Guide · backtest 한국어
equity · SE
New Wave Group AB Class B backtest
10 trend-following strategies were compared on the full daily history of New Wave Group AB Class B. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.7%, MDD -50.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.4%, drawdown -93.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.7%, MDD -50.6%, Sharpe 0.63, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 17.7%, MDD -50.6%, exposure 79%).
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=28, exitN=80 |
17.7% | -50.6% | 0.63 | 0.35 | 75.2x | 43 | 79% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=12, mult=3.4 |
7.9% | -28.6% | 0.53 | 0.28 | 7.6x | 56 | 14% |
| 볼린저 밴드 돌파 n=53, k=2.5 |
9.1% | -35.8% | 0.52 | 0.25 | 10.2x | 74 | 29% |
| Supertrend period=12, mult=3.7 |
11.0% | -68.8% | 0.49 | 0.16 | 16.1x | 116 | 57% |
| ROC 모멘텀 n=110, threshold=0.13 |
8.3% | -55.7% | 0.45 | 0.15 | 8.3x | 174 | 39% |
| Parabolic SAR step=0.005, maxStep=0.26 |
9.6% | -83.4% | 0.45 | 0.11 | 11.4x | 217 | 54% |
| EMA 크로스오버 fast=40, slow=184 |
8.9% | -70.5% | 0.44 | 0.13 | 9.7x | 54 | 63% |
| SMA 크로스오버 fast=58, slow=179 |
8.6% | -71.1% | 0.43 | 0.12 | 8.9x | 44 | 57% |
| ADX / DI 방향성 period=36, threshold=11 |
7.3% | -55.3% | 0.42 | 0.13 | 6.5x | 200 | 34% |
| MACD fast=23, slow=69, signal=22 |
6.9% | -82.3% | 0.37 | 0.08 | 5.8x | 223 | 50% |
| Buy and hold | 11.4% | -93.6% | 0.46 | 0.12 | 17.7x | 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 28 days
- Sell — Sell when price breaks below the lowest low of the last 80 days