Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Per Aarsleff Holding A/S Class B backtest
10 trend-following strategies were compared on the full daily history of Per Aarsleff Holding A/S Class B. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.0%, MDD -35.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.9%, drawdown -58.4%).
Sharpe leader (same as main): Supertrend — CAGR 14.0%, MDD -35.5%, Sharpe 0.74, 59% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.8%, MDD -40.1%, exposure 74%.
Return/drawdown alternative: Supertrend — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 14.0%, MDD -35.5%, exposure 59%).
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=24, mult=5 |
14.0% | -35.5% | 0.74 | 0.39 | 32.4x | 71 | 59% |
| Donchian 채널 돌파 entryN=47, exitN=91 |
14.8% | -40.1% | 0.72 | 0.37 | 39.1x | 36 | 74% |
| EMA 크로스오버 fast=34, slow=48 |
13.6% | -38.4% | 0.70 | 0.35 | 29.5x | 76 | 62% |
| SMA 크로스오버 fast=41, slow=117 |
13.5% | -42.5% | 0.70 | 0.32 | 29.1x | 50 | 61% |
| ROC 모멘텀 n=84, threshold=-0.06 |
13.3% | -51.3% | 0.66 | 0.26 | 27.3x | 189 | 74% |
| ADX / DI 방향성 period=48, threshold=13 |
7.6% | -28.2% | 0.55 | 0.27 | 7.1x | 116 | 34% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=2.9 |
7.0% | -41.2% | 0.49 | 0.17 | 6.1x | 100 | 38% |
| Parabolic SAR step=0.01, maxStep=0.36 |
7.8% | -48.8% | 0.48 | 0.16 | 7.3x | 298 | 54% |
| 볼린저 밴드 돌파 n=28, k=1.5 |
6.2% | -44.8% | 0.43 | 0.14 | 4.9x | 234 | 41% |
| MACD fast=18, slow=36, signal=14 |
3.1% | -58.9% | 0.26 | 0.05 | 2.3x | 320 | 48% |
| Buy and hold | 12.9% | -58.4% | 0.57 | 0.22 | 25.1x | 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) — 24-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)