Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Beijer Ref AB Class B backtest
10 trend-following strategies were compared on the full daily history of Beijer Ref AB Class B. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.3%, MDD -31.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.5%, drawdown -96.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -31.4%, Sharpe 0.62, 50% exposure.
CAGR reference leader: Supertrend — CAGR 12.2%, MDD -47.6%, exposure 59%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 65.0%p (CAGR 11.3%, MDD -31.4%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=96, exitN=54 |
11.3% | -31.4% | 0.62 | 0.36 | 17.1x | 44 | 50% |
| Supertrend period=36, mult=4 |
12.2% | -47.6% | 0.60 | 0.26 | 21.2x | 105 | 59% |
| EMA 크로스오버 fast=56, slow=120 |
11.9% | -51.6% | 0.58 | 0.23 | 19.9x | 32 | 65% |
| SMA 크로스오버 fast=50, slow=211 |
12.0% | -47.8% | 0.57 | 0.25 | 20.4x | 26 | 68% |
| 볼린저 밴드 돌파 n=63, k=3.1 |
6.2% | -30.2% | 0.51 | 0.20 | 4.9x | 44 | 22% |
| ROC 모멘텀 n=108, threshold=-0.08 |
10.9% | -50.4% | 0.51 | 0.22 | 15.7x | 175 | 78% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=12, mult=3.9 |
4.8% | -25.9% | 0.46 | 0.19 | 3.5x | 54 | 16% |
| ADX / DI 방향성 period=32, threshold=33 |
2.3% | -13.7% | 0.38 | 0.17 | 1.8x | 12 | 4% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.1% | -96.7% | 0.21 | -0.04 | 0.3x | 213 | 58% |
| MACD fast=12, slow=41, signal=16 |
-8.0% | -98.6% | 0.07 | -0.08 | 0.1x | 366 | 51% |
| Buy and hold | 6.5% | -96.4% | 0.51 | 0.07 | 5.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 96 days
- Sell — Sell when price breaks below the lowest low of the last 54 days