Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Securitas AB Class B backtest
10 trend-following strategies were compared on the full daily history of Securitas AB Class B. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.1%, MDD -9.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.1%, drawdown -83.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.6%, MDD -49.2%, Sharpe 0.23, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 0.1%, MDD -9.3%, exposure 3%).
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=48, slow=406 |
2.6% | -49.2% | 0.23 | 0.05 | 2.0x | 19 | 54% |
| EMA 크로스오버 fast=77, slow=295 |
2.2% | -42.3% | 0.21 | 0.05 | 1.8x | 21 | 53% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=12, mult=4 |
0.1% | -9.3% | 0.06 | 0.02 | 1.0x | 12 | 3% |
| ADX / DI 방향성 period=37, threshold=28 |
0.0% | -11.7% | 0.03 | 0.00 | 1.0x | 10 | 2% |
| 볼린저 밴드 돌파 n=55, k=3.4 |
-0.1% | -23.9% | 0.02 | -0.00 | 1.0x | 22 | 8% |
| Donchian 채널 돌파 entryN=9, exitN=65 |
-3.5% | -87.5% | 0.01 | -0.04 | 0.4x | 99 | 86% |
| Supertrend period=10, mult=5 |
-3.0% | -79.1% | -0.06 | -0.04 | 0.4x | 90 | 53% |
| ROC 모멘텀 n=4, threshold=0.11 |
-0.5% | -22.3% | -0.09 | -0.02 | 0.9x | 58 | 1% |
| MACD fast=23, slow=48, signal=25 |
-5.6% | -85.7% | -0.16 | -0.07 | 0.2x | 224 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-8.7% | -93.6% | -0.32 | -0.09 | 0.1x | 218 | 50% |
| Buy and hold | -0.1% | -83.9% | 0.15 | -0.00 | 1.0x | 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 48-day average price crosses above the 406-day average
- Sell — Sell (to cash) when the 48-day average falls below the 406-day average