Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Telia Company AB backtest
10 trend-following strategies were compared on the full daily history of Telia Company AB. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -9.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR -2.6%, drawdown -76.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.5%, MDD -48.8%, Sharpe 0.17, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 0.4%, MDD -9.2%, exposure 2%).
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=49, slow=87 |
1.5% | -48.8% | 0.17 | 0.03 | 1.5x | 86 | 53% |
| ADX / DI 방향성 period=28, threshold=29 |
0.4% | -9.2% | 0.17 | 0.05 | 1.1x | 12 | 2% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
-2.8% | -77.7% | 0.04 | -0.04 | 0.5x | 7 | 100% |
| 볼린저 밴드 돌파 n=36, k=3.1 |
-0.0% | -30.4% | 0.03 | -0.00 | 1.0x | 32 | 8% |
| EMA 크로스오버 fast=65, slow=212 |
-1.5% | -74.0% | -0.02 | -0.02 | 0.7x | 39 | 49% |
| Donchian 채널 돌파 entryN=22, exitN=81 |
-3.0% | -76.3% | -0.03 | -0.04 | 0.5x | 70 | 76% |
| Supertrend period=5, mult=4.4 |
-3.8% | -80.5% | -0.14 | -0.05 | 0.4x | 114 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=3.9 |
-2.1% | -59.1% | -0.20 | -0.04 | 0.6x | 52 | 15% |
| MACD fast=14, slow=47, signal=16 |
-11.0% | -95.7% | -0.47 | -0.11 | 0.0x | 354 | 52% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-10.8% | -96.0% | -0.52 | -0.11 | 0.1x | 226 | 51% |
| Buy and hold | -2.6% | -76.4% | 0.05 | -0.03 | 0.5x | 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 49-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 49-day average falls below the 87-day average