Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Skanska AB Class B backtest
10 trend-following strategies were compared on the full daily history of Skanska AB Class B. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.6%, MDD -32.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.6%, drawdown -66.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.9%, MDD -43.6%, Sharpe 0.39, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 4.6%, MDD -32.0%, exposure 47%).
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=133 |
5.9% | -43.6% | 0.39 | 0.14 | 4.6x | 44 | 59% |
| 볼린저 밴드 돌파 n=107, k=1.3 |
4.6% | -32.0% | 0.37 | 0.14 | 3.3x | 75 | 47% |
| Donchian 채널 돌파 entryN=112, exitN=42 |
3.7% | -35.3% | 0.32 | 0.11 | 2.7x | 48 | 40% |
| ROC 모멘텀 n=125, threshold=0 |
3.5% | -46.2% | 0.28 | 0.08 | 2.5x | 174 | 59% |
| EMA 크로스오버 fast=57, slow=170 |
3.6% | -60.3% | 0.28 | 0.06 | 2.6x | 29 | 61% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.4% | -71.9% | 0.03 | -0.02 | 0.7x | 217 | 56% |
| Supertrend period=18, mult=5 |
-1.5% | -58.7% | 0.01 | -0.03 | 0.7x | 93 | 57% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=10, mult=3.4 |
-0.0% | -5.9% | -0.01 | -0.00 | 1.0x | 2 | 0% |
| MACD fast=22, slow=23, signal=17 |
-3.1% | -76.4% | -0.06 | -0.04 | 0.4x | 331 | 51% |
| ADX / DI 방향성 period=27, threshold=32 |
-0.4% | -13.6% | -0.19 | -0.03 | 0.9x | 6 | 1% |
| Buy and hold | 4.6% | -66.9% | 0.30 | 0.07 | 3.3x | 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 43-day average price crosses above the 133-day average
- Sell — Sell (to cash) when the 43-day average falls below the 133-day average