Trend-Following Backtester · Guide · backtest 한국어
equity · FR
SEB SA backtest
10 trend-following strategies were compared on the full daily history of SEB SA. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.3%, MDD -19.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.6%, drawdown -73.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -32.6%, Sharpe 0.43, 51% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 4.3%, MDD -19.5%, exposure 15%).
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=59, slow=178 |
6.8% | -32.6% | 0.43 | 0.21 | 5.7x | 37 | 51% |
| ROC 모멘텀 n=75, threshold=0.19 |
4.3% | -19.5% | 0.43 | 0.22 | 3.1x | 117 | 15% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=17, mult=2 |
5.3% | -37.7% | 0.38 | 0.14 | 3.9x | 117 | 38% |
| ADX / DI 방향성 period=27, threshold=41 |
0.5% | -2.1% | 0.38 | 0.24 | 1.1x | 2 | 0% |
| Donchian 채널 돌파 entryN=112, exitN=69 |
5.3% | -36.6% | 0.38 | 0.15 | 4.0x | 33 | 44% |
| EMA 크로스오버 fast=16, slow=75 |
4.7% | -45.3% | 0.33 | 0.10 | 3.4x | 103 | 53% |
| 볼린저 밴드 돌파 n=17, k=2.7 |
3.1% | -29.2% | 0.33 | 0.11 | 2.2x | 95 | 14% |
| Supertrend period=26, mult=5 |
2.6% | -62.5% | 0.23 | 0.04 | 2.0x | 83 | 55% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-4.5% | -79.2% | -0.09 | -0.06 | 0.3x | 437 | 51% |
| MACD fast=10, slow=56, signal=19 |
-6.4% | -86.3% | -0.18 | -0.07 | 0.2x | 373 | 50% |
| Buy and hold | 3.6% | -73.6% | 0.27 | 0.05 | 2.6x | 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 59-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 59-day average falls below the 178-day average