Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Axfood AB backtest
10 trend-following strategies were compared on the full daily history of Axfood AB. 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 10.4%, drawdown -52.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -40.8%, Sharpe 0.42, 61% 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=45, slow=140 |
6.4% | -40.8% | 0.42 | 0.16 | 5.2x | 50 | 61% |
| Donchian 채널 돌파 entryN=84, exitN=76 |
5.9% | -34.6% | 0.39 | 0.17 | 4.6x | 38 | 65% |
| EMA 크로스오버 fast=47, slow=49 |
5.2% | -42.3% | 0.36 | 0.12 | 3.8x | 72 | 62% |
| 볼린저 밴드 돌파 n=44, k=2.6 |
3.4% | -40.9% | 0.33 | 0.08 | 2.4x | 90 | 28% |
| MACD fast=22, slow=50, signal=35 |
4.0% | -37.2% | 0.31 | 0.11 | 2.8x | 202 | 50% |
| Supertrend period=13, mult=5 |
3.4% | -48.1% | 0.27 | 0.07 | 2.4x | 76 | 58% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=10, mult=3.1 |
2.7% | -39.6% | 0.27 | 0.07 | 2.0x | 90 | 31% |
| ROC 모멘텀 n=112, threshold=0.02 |
2.7% | -53.5% | 0.23 | 0.05 | 2.0x | 250 | 57% |
| ADX / DI 방향성 period=16, threshold=28 |
1.3% | -35.3% | 0.18 | 0.04 | 1.4x | 116 | 17% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-6.7% | -87.6% | -0.30 | -0.08 | 0.2x | 560 | 53% |
| Buy and hold | 10.4% | -52.4% | 0.51 | 0.20 | 13.6x | 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 45-day average price crosses above the 140-day average
- Sell — Sell (to cash) when the 45-day average falls below the 140-day average