Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Systemair AB backtest
10 trend-following strategies were compared on the full daily history of Systemair AB. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.2%, MDD -40.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.2%, drawdown -63.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -53.8%, Sharpe 0.51, 79% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 9.3%p (CAGR 9.2%, MDD -40.9%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=57 |
11.7% | -53.8% | 0.51 | 0.22 | 8.1x | 51 | 79% |
| SMA 크로스오버 fast=6, slow=133 |
9.2% | -40.9% | 0.47 | 0.22 | 5.3x | 61 | 57% |
| EMA 크로스오버 fast=24, slow=130 |
8.7% | -44.0% | 0.45 | 0.20 | 4.8x | 35 | 58% |
| Supertrend period=16, mult=4.3 |
5.5% | -48.4% | 0.34 | 0.11 | 2.8x | 63 | 53% |
| Parabolic SAR step=0.02, maxStep=0.2 |
3.4% | -79.1% | 0.26 | 0.04 | 1.9x | 363 | 52% |
| ROC 모멘텀 n=105, threshold=-0.02 |
3.4% | -59.0% | 0.26 | 0.06 | 1.9x | 161 | 60% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
1.7% | -36.9% | 0.20 | 0.05 | 1.4x | 22 | 11% |
| MACD fast=10, slow=44, signal=16 |
-0.6% | -59.4% | 0.10 | -0.01 | 0.9x | 277 | 50% |
| ADX / DI 방향성 period=32, threshold=11 |
-1.4% | -57.9% | 0.06 | -0.02 | 0.8x | 194 | 43% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=11, mult=3.4 |
-0.5% | -40.5% | 0.01 | -0.01 | 0.9x | 42 | 11% |
| Buy and hold | 8.2% | -63.1% | 0.40 | 0.13 | 4.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 14 days
- Sell — Sell when price breaks below the lowest low of the last 57 days