Trend-Following Backtester · Guide · backtest 한국어
equity · DK
AL Sydbank A/S backtest
10 trend-following strategies were compared on the full daily history of AL Sydbank A/S. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 12.3%, drawdown -91.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.5%, MDD -30.9%, Sharpe 0.68, 35% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.8%, MDD -91.0%, exposure 80%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=46, k=2.3 |
8.5% | -30.9% | 0.68 | 0.28 | 8.9x | 97 | 35% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=24, mult=3.3 |
7.2% | -31.4% | 0.63 | 0.23 | 6.4x | 73 | 27% |
| Donchian 채널 돌파 entryN=42, exitN=133 |
15.8% | -91.0% | 0.39 | 0.17 | 49.4x | 25 | 80% |
| SMA 크로스오버 fast=59, slow=192 |
14.3% | -91.0% | 0.39 | 0.16 | 34.9x | 31 | 67% |
| ADX / DI 방향성 period=14, threshold=23 |
4.1% | -41.7% | 0.37 | 0.10 | 2.9x | 231 | 27% |
| EMA 크로스오버 fast=59, slow=215 |
4.7% | -99.0% | 0.34 | 0.05 | 3.4x | 23 | 70% |
| Supertrend period=9, mult=4 |
-12.0% | -99.9% | 0.20 | -0.12 | 0.0x | 111 | 60% |
| MACD fast=20, slow=54, signal=16 |
-2.1% | -90.3% | 0.19 | -0.02 | 0.6x | 269 | 52% |
| Parabolic SAR step=0.045, maxStep=0.16 |
-14.4% | -99.9% | 0.15 | -0.14 | 0.0x | 773 | 57% |
| ROC 모멘텀 n=21, threshold=-0.04 |
-20.7% | -99.9% | 0.14 | -0.21 | 0.0x | 475 | 77% |
| Buy and hold | 12.3% | -91.0% | 0.39 | 0.14 | 22.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 46-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 46-day middle average