Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Fastighets AB Balder Class B backtest
10 trend-following strategies were compared on the full daily history of Fastighets AB Balder Class B. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -22.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.1%, drawdown -99.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.0%, MDD -70.9%, Sharpe 0.51, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.0%, MDD -62.4%, exposure 60%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.1%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 1.5%, MDD -22.2%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=208 |
10.0% | -70.9% | 0.51 | 0.14 | 12.7x | 18 | 53% |
| Donchian 채널 돌파 entryN=55, exitN=62 |
11.0% | -62.4% | 0.51 | 0.18 | 16.0x | 42 | 60% |
| SMA 크로스오버 fast=7, slow=109 |
9.9% | -66.1% | 0.47 | 0.15 | 12.4x | 84 | 56% |
| ROC 모멘텀 n=78, threshold=-0.02 |
9.3% | -80.0% | 0.45 | 0.12 | 10.6x | 200 | 60% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=12, mult=2.1 |
5.6% | -77.4% | 0.34 | 0.07 | 4.3x | 108 | 45% |
| 볼린저 밴드 돌파 n=53, k=1.8 |
4.7% | -70.8% | 0.31 | 0.07 | 3.4x | 118 | 39% |
| ADX / DI 방향성 period=27, threshold=31 |
1.5% | -22.2% | 0.24 | 0.07 | 1.5x | 26 | 6% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-1.5% | -95.3% | 0.14 | -0.02 | 0.7x | 324 | 54% |
| Supertrend period=29, mult=4.7 |
-4.8% | -98.1% | 0.02 | -0.05 | 0.3x | 124 | 59% |
| MACD fast=17, slow=58, signal=18 |
-11.5% | -99.6% | -0.10 | -0.12 | 0.0x | 289 | 54% |
| Buy and hold | -6.1% | -99.8% | 0.16 | -0.06 | 0.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 208-day EMA
- Sell — Sell when the 54-day EMA falls below the 208-day EMA