Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Sampo Oyj backtest
10 trend-following strategies were compared on the full daily history of Sampo Oyj. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.0%, MDD -50.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -63.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -54.5%, Sharpe 0.45, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 9.2%p (CAGR 6.0%, MDD -50.7%, 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=17, slow=127 |
6.4% | -54.5% | 0.45 | 0.12 | 5.2x | 67 | 60% |
| EMA 크로스오버 fast=33, slow=75 |
6.0% | -50.7% | 0.42 | 0.12 | 4.7x | 69 | 62% |
| Donchian 채널 돌파 entryN=105, exitN=67 |
4.5% | -41.6% | 0.37 | 0.11 | 3.2x | 39 | 48% |
| ADX / DI 방향성 period=38, threshold=23 |
1.0% | -14.6% | 0.24 | 0.07 | 1.3x | 18 | 6% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
0.6% | -7.3% | 0.22 | 0.08 | 1.2x | 8 | 2% |
| Supertrend period=26, mult=4.9 |
2.4% | -53.6% | 0.22 | 0.04 | 1.9x | 83 | 57% |
| ROC 모멘텀 n=126, threshold=0.06 |
1.9% | -51.9% | 0.20 | 0.04 | 1.7x | 214 | 45% |
| Keltner 채널 돌파 emaPeriod=87, atrPeriod=23, mult=2.3 |
1.1% | -63.2% | 0.15 | 0.02 | 1.3x | 113 | 45% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-1.1% | -66.5% | 0.03 | -0.02 | 0.7x | 231 | 54% |
| MACD fast=15, slow=35, signal=17 |
-6.0% | -87.5% | -0.24 | -0.07 | 0.2x | 367 | 50% |
| Buy and hold | 7.5% | -63.7% | 0.40 | 0.12 | 6.8x | 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 17-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 17-day average falls below the 127-day average