Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Scandinavian Tobacco Group A/S backtest
10 trend-following strategies were compared on the full daily history of Scandinavian Tobacco Group A/S. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -6.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR -3.1%, drawdown -59.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.0%, MDD -7.3%, Sharpe 0.30, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 51.8%p (CAGR 0.5%, MDD -6.2%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=22, threshold=0.18 |
1.0% | -7.3% | 0.30 | 0.14 | 1.1x | 6 | 1% |
| ADX / DI 방향성 period=32, threshold=29 |
0.5% | -6.2% | 0.13 | 0.08 | 1.1x | 2 | 2% |
| MACD fast=17, slow=60, signal=22 |
-0.9% | -37.2% | 0.04 | -0.02 | 0.9x | 95 | 50% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=11, mult=3.2 |
-0.6% | -13.8% | -0.11 | -0.04 | 0.9x | 8 | 2% |
| 볼린저 밴드 돌파 n=19, k=1.7 |
-2.3% | -40.4% | -0.11 | -0.06 | 0.8x | 107 | 34% |
| Donchian 채널 돌파 entryN=21, exitN=66 |
-6.2% | -62.5% | -0.15 | -0.10 | 0.5x | 33 | 74% |
| SMA 크로스오버 fast=54, slow=143 |
-5.7% | -61.8% | -0.16 | -0.09 | 0.5x | 22 | 47% |
| EMA 크로스오버 fast=28, slow=205 |
-6.8% | -60.9% | -0.25 | -0.11 | 0.5x | 16 | 39% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-6.6% | -59.8% | -0.28 | -0.11 | 0.5x | 127 | 50% |
| Supertrend period=10, mult=5 |
-8.9% | -69.2% | -0.39 | -0.13 | 0.4x | 39 | 56% |
| Buy and hold | -3.1% | -59.1% | 0.02 | -0.05 | 0.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 22-day return is greater than 18%
- Sell — Sell when the 22-day return drops to 18% or below