Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Alm. Brand A/S backtest
10 trend-following strategies were compared on the full daily history of Alm. Brand A/S. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.1%, MDD -36.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.1%, drawdown -96.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.7%, MDD -53.7%, Sharpe 0.65, 57% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.8%, MDD -40.8%, exposure 58%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 10.1%, MDD -36.5%, exposure 49%).
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=33, slow=314 |
10.7% | -53.7% | 0.65 | 0.20 | 14.8x | 19 | 57% |
| Donchian 채널 돌파 entryN=74, exitN=56 |
10.4% | -46.8% | 0.60 | 0.22 | 13.9x | 39 | 51% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=5, mult=1.3 |
10.1% | -36.5% | 0.60 | 0.28 | 12.7x | 125 | 49% |
| SMA 크로스오버 fast=5, slow=140 |
10.8% | -40.8% | 0.60 | 0.27 | 15.4x | 85 | 58% |
| Supertrend period=16, mult=5 |
9.7% | -51.8% | 0.56 | 0.19 | 11.6x | 67 | 51% |
| ROC 모멘텀 n=125, threshold=-0.06 |
9.0% | -49.8% | 0.50 | 0.18 | 9.9x | 142 | 66% |
| Parabolic SAR step=0.005, maxStep=0.24 |
8.3% | -40.8% | 0.49 | 0.20 | 8.3x | 179 | 52% |
| 볼린저 밴드 돌파 n=27, k=1.9 |
6.9% | -40.4% | 0.48 | 0.17 | 5.9x | 179 | 34% |
| ADX / DI 방향성 period=20, threshold=15 |
5.0% | -51.5% | 0.35 | 0.10 | 3.6x | 293 | 44% |
| MACD fast=19, slow=45, signal=15 |
1.8% | -81.6% | 0.19 | 0.02 | 1.6x | 289 | 51% |
| Buy and hold | 2.1% | -96.0% | 0.22 | 0.02 | 1.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 314-day EMA
- Sell — Sell when the 33-day EMA falls below the 314-day EMA