Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Sandvik AB backtest
10 trend-following strategies were compared on the full daily history of Sandvik AB. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.5%, MDD -54.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -72.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -54.3%, Sharpe 0.39, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 18.0%p (CAGR 6.5%, MDD -54.3%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=145 |
6.5% | -54.3% | 0.39 | 0.12 | 5.3x | 46 | 60% |
| Donchian 채널 돌파 entryN=14, exitN=94 |
6.4% | -57.3% | 0.36 | 0.11 | 5.3x | 65 | 86% |
| ADX / DI 방향성 period=32, threshold=34 |
0.6% | -3.4% | 0.32 | 0.16 | 1.2x | 2 | 1% |
| Supertrend period=19, mult=5 |
4.0% | -53.0% | 0.29 | 0.07 | 2.8x | 82 | 54% |
| EMA 크로스오버 fast=38, slow=128 |
3.8% | -58.1% | 0.28 | 0.07 | 2.7x | 51 | 63% |
| ROC 모멘텀 n=93, threshold=-0.04 |
1.8% | -58.8% | 0.19 | 0.03 | 1.6x | 241 | 69% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=25, mult=3.8 |
1.6% | -43.2% | 0.18 | 0.04 | 1.5x | 64 | 25% |
| 볼린저 밴드 돌파 n=50, k=3.1 |
0.7% | -26.6% | 0.13 | 0.03 | 1.2x | 16 | 7% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-6.4% | -90.1% | -0.18 | -0.07 | 0.2x | 239 | 55% |
| MACD fast=12, slow=59, signal=16 |
-7.7% | -93.8% | -0.25 | -0.08 | 0.1x | 381 | 51% |
| Buy and hold | 7.7% | -72.3% | 0.39 | 0.11 | 7.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 145-day average
- Sell — Sell (to cash) when the 59-day average falls below the 145-day average