Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Peab AB Class B backtest
10 trend-following strategies were compared on the full daily history of Peab 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 10.3%, MDD -52.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.6%, drawdown -86.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -52.6%, Sharpe 0.54, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 10.3%, MDD -52.6%, exposure 66%).
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=73, exitN=91 |
10.3% | -52.6% | 0.54 | 0.20 | 13.6x | 33 | 66% |
| SMA 크로스오버 fast=42, slow=99 |
9.2% | -55.6% | 0.51 | 0.16 | 10.3x | 68 | 59% |
| EMA 크로스오버 fast=22, slow=97 |
8.7% | -55.6% | 0.50 | 0.16 | 9.1x | 69 | 62% |
| ROC 모멘텀 n=79, threshold=-0.04 |
9.0% | -61.8% | 0.49 | 0.14 | 9.8x | 237 | 69% |
| Supertrend period=21, mult=2 |
8.1% | -66.6% | 0.45 | 0.12 | 8.0x | 311 | 56% |
| Parabolic SAR step=0.01, maxStep=0.22 |
7.4% | -50.4% | 0.43 | 0.15 | 6.7x | 341 | 53% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=1.5 |
6.3% | -33.0% | 0.42 | 0.19 | 5.0x | 168 | 47% |
| 볼린저 밴드 돌파 n=50, k=2.2 |
5.3% | -39.4% | 0.41 | 0.14 | 4.0x | 92 | 32% |
| ADX / DI 방향성 period=37, threshold=7 |
4.9% | -54.1% | 0.35 | 0.09 | 3.5x | 278 | 48% |
| MACD fast=7, slow=41, signal=6 |
5.0% | -46.8% | 0.33 | 0.11 | 3.7x | 631 | 50% |
| Buy and hold | 9.6% | -86.9% | 0.44 | 0.11 | 11.5x | 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 73 days
- Sell — Sell when price breaks below the lowest low of the last 91 days