Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Troax Group AB Class A backtest
10 trend-following strategies were compared on the full daily history of Troax Group AB Class A. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.9%, MDD -44.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.9%, drawdown -80.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.9%, MDD -48.6%, Sharpe 0.68, 59% exposure.
CAGR reference leader: Supertrend — CAGR 15.9%, MDD -44.1%, exposure 55%.
Return/drawdown alternative: Supertrend — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 31.8%p (CAGR 15.9%, MDD -44.1%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=7, slow=149 |
15.9% | -48.6% | 0.68 | 0.33 | 5.3x | 35 | 59% |
| Supertrend period=24, mult=4.7 |
15.9% | -44.1% | 0.65 | 0.36 | 5.3x | 31 | 55% |
| 볼린저 밴드 돌파 n=23, k=3.1 |
6.5% | -22.4% | 0.63 | 0.29 | 2.0x | 21 | 10% |
| SMA 크로스오버 fast=6, slow=152 |
13.8% | -53.5% | 0.60 | 0.26 | 4.3x | 31 | 59% |
| Parabolic SAR step=0.015, maxStep=0.12 |
13.0% | -56.7% | 0.59 | 0.23 | 4.0x | 199 | 54% |
| Donchian 채널 돌파 entryN=36, exitN=43 |
13.7% | -55.9% | 0.57 | 0.25 | 4.3x | 31 | 62% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=13, mult=2.4 |
9.7% | -39.7% | 0.54 | 0.24 | 2.9x | 47 | 33% |
| MACD fast=7, slow=71, signal=16 |
10.0% | -61.7% | 0.49 | 0.16 | 2.9x | 169 | 50% |
| ADX / DI 방향성 period=28, threshold=12 |
9.2% | -55.8% | 0.48 | 0.16 | 2.7x | 119 | 43% |
| ROC 모멘텀 n=118, threshold=0.09 |
7.3% | -46.4% | 0.41 | 0.16 | 2.2x | 77 | 48% |
| Buy and hold | 15.9% | -80.3% | 0.57 | 0.20 | 5.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 149-day EMA
- Sell — Sell when the 7-day EMA falls below the 149-day EMA