Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Pandox AB Class B backtest
10 trend-following strategies were compared on the full daily history of Pandox AB Class B. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.2%, drawdown -77.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.6%, MDD -35.2%, Sharpe 0.51, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=3, threshold=-0.08 |
11.6% | -35.2% | 0.51 | 0.33 | 3.5x | 45 | 98% |
| 볼린저 밴드 돌파 n=18, k=2.8 |
2.2% | -15.2% | 0.31 | 0.15 | 1.3x | 26 | 8% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=23, mult=3.2 |
1.8% | -12.2% | 0.31 | 0.15 | 1.2x | 8 | 3% |
| ADX / DI 방향성 period=49, threshold=21 |
0.9% | -7.8% | 0.31 | 0.12 | 1.1x | 4 | 1% |
| Donchian 채널 돌파 entryN=78, exitN=75 |
1.4% | -41.3% | 0.17 | 0.03 | 1.2x | 16 | 57% |
| Supertrend period=25, mult=1.7 |
-1.3% | -43.5% | 0.06 | -0.03 | 0.9x | 156 | 52% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-1.5% | -45.0% | 0.04 | -0.03 | 0.8x | 200 | 52% |
| SMA 크로스오버 fast=52, slow=79 |
-1.8% | -62.2% | 0.01 | -0.03 | 0.8x | 48 | 58% |
| MACD fast=6, slow=23, signal=19 |
-2.9% | -48.4% | -0.01 | -0.06 | 0.7x | 224 | 46% |
| EMA 크로스오버 fast=25, slow=66 |
-3.7% | -64.4% | -0.11 | -0.06 | 0.6x | 44 | 54% |
| Buy and hold | 3.2% | -77.6% | 0.27 | 0.04 | 1.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -8%
- Sell — Sell when the 3-day return drops to -8% or below