Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Tryg A/S backtest
10 trend-following strategies were compared on the full daily history of Tryg A/S. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.5%, MDD -32.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -49.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -32.4%, Sharpe 0.43, 62% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.3%, MDD -51.0%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 17.4%p (CAGR 5.5%, MDD -32.4%, exposure 62%).
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=94, slow=262 |
5.5% | -32.4% | 0.43 | 0.17 | 3.0x | 18 | 62% |
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.09 |
6.3% | -51.0% | 0.39 | 0.12 | 3.6x | 27 | 100% |
| ADX / DI 방향성 period=34, threshold=21 |
2.2% | -26.2% | 0.36 | 0.08 | 1.6x | 32 | 10% |
| 볼린저 밴드 돌파 n=84, k=2.6 |
2.0% | -28.5% | 0.28 | 0.07 | 1.5x | 26 | 21% |
| Donchian 채널 돌파 entryN=1, exitN=48 |
3.7% | -59.4% | 0.28 | 0.06 | 2.1x | 131 | 93% |
| EMA 크로스오버 fast=92, slow=200 |
2.7% | -46.1% | 0.25 | 0.06 | 1.7x | 24 | 62% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=24, mult=3.9 |
1.2% | -19.8% | 0.24 | 0.06 | 1.3x | 28 | 10% |
| Supertrend period=24, mult=5 |
-0.2% | -56.3% | 0.07 | -0.00 | 1.0x | 72 | 55% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-4.4% | -71.9% | -0.19 | -0.06 | 0.4x | 181 | 55% |
| MACD fast=16, slow=48, signal=17 |
-4.3% | -68.2% | -0.20 | -0.06 | 0.4x | 265 | 51% |
| Buy and hold | 6.7% | -49.8% | 0.40 | 0.14 | 3.9x | 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 94-day average price crosses above the 262-day average
- Sell — Sell (to cash) when the 94-day average falls below the 262-day average