Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Skandinaviska Enskilda Banken AB Class A backtest
10 trend-following strategies were compared on the full daily history of Skandinaviska Enskilda Banken AB Class A. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.4%, MDD -55.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.2%, drawdown -87.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -55.9%, Sharpe 0.40, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 6.4%, MDD -55.9%, 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=43, slow=113 |
6.4% | -55.9% | 0.40 | 0.11 | 5.1x | 59 | 60% |
| EMA 크로스오버 fast=22, slow=97 |
5.0% | -61.4% | 0.34 | 0.08 | 3.6x | 75 | 63% |
| Donchian 채널 돌파 entryN=46, exitN=71 |
4.8% | -54.8% | 0.32 | 0.09 | 3.5x | 49 | 68% |
| Supertrend period=35, mult=4.4 |
3.9% | -57.6% | 0.29 | 0.07 | 2.8x | 97 | 57% |
| ROC 모멘텀 n=139, threshold=-0.05 |
2.8% | -64.4% | 0.24 | 0.04 | 2.1x | 169 | 72% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=4 |
0.2% | -6.0% | 0.16 | 0.04 | 1.1x | 3 | 1% |
| ADX / DI 방향성 period=38, threshold=27 |
0.3% | -9.2% | 0.14 | 0.04 | 1.1x | 4 | 2% |
| 볼린저 밴드 돌파 n=54, k=2.9 |
0.4% | -22.7% | 0.09 | 0.02 | 1.1x | 29 | 11% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.0% | -84.1% | -0.03 | -0.04 | 0.4x | 231 | 57% |
| MACD fast=17, slow=28, signal=17 |
-4.1% | -83.5% | -0.06 | -0.05 | 0.3x | 333 | 51% |
| Buy and hold | 6.2% | -87.5% | 0.35 | 0.07 | 5.0x | 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 43-day average price crosses above the 113-day average
- Sell — Sell (to cash) when the 43-day average falls below the 113-day average