Trend-Following Backtester · Guide · backtest 한국어
equity · SE
ASSA ABLOY AB Class B backtest
10 trend-following strategies were compared on the full daily history of ASSA ABLOY AB Class B. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -65.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -39.4%, Sharpe 0.39, 62% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=55, slow=276 |
5.8% | -39.4% | 0.39 | 0.15 | 4.5x | 32 | 62% |
| EMA 크로스오버 fast=52, slow=152 |
5.5% | -47.1% | 0.37 | 0.12 | 4.2x | 36 | 63% |
| Donchian 채널 돌파 entryN=118, exitN=44 |
4.4% | -46.1% | 0.36 | 0.09 | 3.1x | 40 | 42% |
| Supertrend period=29, mult=5 |
1.9% | -54.8% | 0.19 | 0.03 | 1.6x | 70 | 59% |
| ROC 모멘텀 n=131, threshold=0 |
0.4% | -67.8% | 0.11 | 0.01 | 1.1x | 244 | 60% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
0.2% | -15.8% | 0.06 | 0.01 | 1.0x | 10 | 3% |
| ADX / DI 방향성 period=32, threshold=32 |
-0.1% | -11.6% | -0.05 | -0.01 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=26, mult=2.4 |
-2.1% | -58.3% | -0.06 | -0.04 | 0.6x | 118 | 40% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.4% | -75.0% | -0.06 | -0.05 | 0.4x | 229 | 54% |
| MACD fast=14, slow=18, signal=16 |
-9.9% | -96.0% | -0.38 | -0.10 | 0.1x | 477 | 49% |
| Buy and hold | 8.5% | -65.6% | 0.42 | 0.13 | 8.8x | 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 55-day average price crosses above the 276-day average
- Sell — Sell (to cash) when the 55-day average falls below the 276-day average