Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Demant A/S backtest
10 trend-following strategies were compared on the full daily history of Demant A/S. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.8%, MDD -28.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.9%, drawdown -75.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.9%, MDD -60.0%, Sharpe 0.49, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 5.8%, MDD -28.2%, exposure 21%).
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=23, slow=234 |
7.9% | -60.0% | 0.49 | 0.13 | 7.3x | 31 | 56% |
| 볼린저 밴드 돌파 n=35, k=2.8 |
5.8% | -28.2% | 0.48 | 0.21 | 4.4x | 73 | 21% |
| SMA 크로스오버 fast=25, slow=217 |
7.1% | -60.1% | 0.44 | 0.12 | 6.0x | 33 | 57% |
| Donchian 채널 돌파 entryN=64, exitN=73 |
7.7% | -56.1% | 0.44 | 0.14 | 6.9x | 41 | 61% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=3.2 |
4.9% | -35.0% | 0.38 | 0.14 | 3.5x | 77 | 30% |
| ROC 모멘텀 n=133, threshold=0 |
5.4% | -59.6% | 0.36 | 0.09 | 4.0x | 167 | 56% |
| Supertrend period=25, mult=5 |
4.8% | -68.0% | 0.33 | 0.07 | 3.5x | 83 | 53% |
| ADX / DI 방향성 period=31, threshold=17 |
3.5% | -37.6% | 0.31 | 0.09 | 2.5x | 115 | 27% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.0% | -70.4% | 0.12 | 0.00 | 1.0x | 221 | 54% |
| MACD fast=19, slow=40, signal=19 |
-0.3% | -64.7% | 0.10 | -0.00 | 0.9x | 278 | 53% |
| Buy and hold | 6.9% | -75.8% | 0.37 | 0.09 | 5.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 23-day EMA crosses above the 234-day EMA
- Sell — Sell when the 23-day EMA falls below the 234-day EMA