Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Elisa Oyj Class A backtest
10 trend-following strategies were compared on the full daily history of Elisa Oyj Class A. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.0%, MDD -26.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.5%, drawdown -92.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.3%, MDD -41.3%, Sharpe 0.32, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 50.9%p (CAGR -0.0%, MDD -26.5%, exposure 3%).
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=29, slow=195 |
4.3% | -41.3% | 0.32 | 0.10 | 3.1x | 56 | 55% |
| EMA 크로스오버 fast=57, slow=217 |
4.3% | -47.4% | 0.31 | 0.09 | 3.1x | 34 | 61% |
| Parabolic SAR step=0.005, maxStep=0.02 |
3.4% | -53.0% | 0.27 | 0.06 | 2.4x | 116 | 53% |
| Donchian 채널 돌파 entryN=103, exitN=52 |
2.1% | -51.0% | 0.21 | 0.04 | 1.7x | 46 | 44% |
| Supertrend period=19, mult=4.9 |
1.7% | -58.1% | 0.18 | 0.03 | 1.5x | 80 | 49% |
| ROC 모멘텀 n=121, threshold=0.08 |
-0.1% | -53.5% | 0.08 | -0.00 | 1.0x | 228 | 35% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
-0.6% | -70.9% | 0.05 | -0.01 | 0.8x | 144 | 42% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=31, mult=3.1 |
-0.0% | -26.5% | 0.02 | -0.00 | 1.0x | 20 | 3% |
| ADX / DI 방향성 period=31, threshold=17 |
-0.7% | -45.0% | 0.02 | -0.02 | 0.8x | 124 | 22% |
| MACD fast=18, slow=53, signal=19 |
-7.0% | -91.2% | -0.21 | -0.08 | 0.1x | 289 | 52% |
| Buy and hold | -0.5% | -92.2% | 0.15 | -0.01 | 0.9x | 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 29-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 29-day average falls below the 195-day average