Trend-Following Backtester · Guide · backtest 한국어
equity · DK
DSV A/S backtest
10 trend-following strategies were compared on the full daily history of DSV A/S. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.7%, MDD -35.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.7%, drawdown -73.4%).
Sharpe leader (same as main): Supertrend — CAGR 15.7%, MDD -35.8%, Sharpe 0.82, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 16.6%, MDD -44.3%, exposure 76%.
Return/drawdown alternative: Supertrend — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 37.6%p (CAGR 15.7%, MDD -35.8%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=4.7 |
15.7% | -35.8% | 0.82 | 0.44 | 48.7x | 88 | 61% |
| ROC 모멘텀 n=175, threshold=-0.03 |
16.6% | -44.3% | 0.79 | 0.37 | 59.1x | 102 | 76% |
| SMA 크로스오버 fast=33, slow=168 |
15.1% | -42.0% | 0.75 | 0.36 | 42.5x | 40 | 71% |
| Donchian 채널 돌파 entryN=84, exitN=64 |
13.1% | -40.0% | 0.73 | 0.33 | 26.6x | 40 | 63% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=2.1 |
11.9% | -36.0% | 0.72 | 0.33 | 19.7x | 116 | 51% |
| EMA 크로스오버 fast=47, slow=112 |
14.4% | -47.9% | 0.72 | 0.30 | 35.9x | 42 | 73% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
10.2% | -47.2% | 0.62 | 0.22 | 13.4x | 144 | 53% |
| MACD fast=24, slow=51, signal=18 |
9.7% | -54.0% | 0.54 | 0.18 | 11.7x | 230 | 49% |
| ADX / DI 방향성 period=39, threshold=11 |
7.3% | -48.6% | 0.49 | 0.15 | 6.6x | 222 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
6.9% | -53.6% | 0.42 | 0.13 | 5.9x | 216 | 56% |
| Buy and hold | 17.7% | -73.4% | 0.68 | 0.24 | 77.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)