Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Royal Unibrew A/S backtest
10 trend-following strategies were compared on the full daily history of Royal Unibrew A/S. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.1%, MDD -33.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.5%, drawdown -95.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.3%, MDD -46.3%, Sharpe 0.74, 63% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.3%, MDD -71.2%, exposure 83%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 49.5%p (CAGR 11.1%, MDD -33.6%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=24, slow=143 |
15.3% | -46.3% | 0.74 | 0.33 | 44.1x | 50 | 63% |
| EMA 크로스오버 fast=33, slow=106 |
15.0% | -43.5% | 0.73 | 0.35 | 41.4x | 46 | 65% |
| Supertrend period=7, mult=3.9 |
14.7% | -54.9% | 0.72 | 0.27 | 38.4x | 115 | 58% |
| Donchian 채널 돌파 entryN=14, exitN=77 |
17.3% | -71.2% | 0.72 | 0.24 | 68.9x | 69 | 83% |
| 볼린저 밴드 돌파 n=57, k=1.4 |
11.1% | -33.6% | 0.65 | 0.33 | 16.5x | 133 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=3.1 |
9.7% | -45.4% | 0.62 | 0.21 | 11.7x | 90 | 41% |
| ROC 모멘텀 n=81, threshold=0.04 |
10.9% | -39.6% | 0.60 | 0.27 | 15.5x | 218 | 54% |
| ADX / DI 방향성 period=38, threshold=10 |
10.1% | -44.2% | 0.56 | 0.23 | 12.9x | 239 | 54% |
| Parabolic SAR step=0.01, maxStep=0.36 |
8.4% | -59.0% | 0.47 | 0.14 | 8.5x | 329 | 55% |
| MACD fast=26, slow=55, signal=19 |
6.4% | -83.6% | 0.38 | 0.08 | 5.2x | 229 | 51% |
| Buy and hold | 11.5% | -95.8% | 0.49 | 0.12 | 18.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 24-day average price crosses above the 143-day average
- Sell — Sell (to cash) when the 24-day average falls below the 143-day average