Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Coloplast A/S Class B backtest
10 trend-following strategies were compared on the full daily history of Coloplast A/S Class B. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.4%, drawdown -80.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.9%, MDD -80.6%, Sharpe 0.45, 67% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=70, slow=184 |
9.9% | -80.6% | 0.45 | 0.12 | 12.2x | 24 | 67% |
| Donchian 채널 돌파 entryN=10, exitN=60 |
8.5% | -80.6% | 0.44 | 0.11 | 8.8x | 77 | 84% |
| SMA 크로스오버 fast=33, slow=133 |
5.2% | -85.2% | 0.42 | 0.06 | 3.9x | 66 | 60% |
| ROC 모멘텀 n=149, threshold=-0.03 |
2.9% | -85.2% | 0.40 | 0.03 | 2.1x | 222 | 69% |
| Supertrend period=3, mult=4.4 |
-3.7% | -90.6% | 0.34 | -0.04 | 0.4x | 109 | 59% |
| ADX / DI 방향성 period=46, threshold=28 |
0.9% | -7.9% | 0.33 | 0.12 | 1.3x | 2 | 3% |
| MACD fast=17, slow=42, signal=18 |
-21.4% | -99.9% | 0.16 | -0.21 | 0.0x | 333 | 50% |
| Parabolic SAR step=0.03, maxStep=0.3 |
-31.1% | -100.0% | -0.01 | -0.31 | 0.0x | 737 | 54% |
| 볼린저 밴드 돌파 n=21, k=1.9 |
-32.8% | -100.0% | -0.23 | -0.33 | 0.0x | 297 | 33% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=17, mult=1.8 |
-32.2% | -100.0% | -0.27 | -0.32 | 0.0x | 169 | 37% |
| Buy and hold | 10.4% | -80.6% | 0.46 | 0.13 | 14.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 70-day EMA crosses above the 184-day EMA
- Sell — Sell when the 70-day EMA falls below the 184-day EMA