Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Betsson AB Class B backtest
10 trend-following strategies were compared on the full daily history of Betsson AB Class B. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.0%, MDD -21.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.4%, drawdown -94.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.4%, MDD -48.7%, Sharpe 0.71, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.0%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 8.0%, MDD -21.9%, exposure 3%).
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=98, exitN=67 |
18.4% | -48.7% | 0.71 | 0.38 | 83.1x | 30 | 50% |
| EMA 크로스오버 fast=46, slow=188 |
15.8% | -50.6% | 0.63 | 0.31 | 47.0x | 26 | 58% |
| SMA 크로스오버 fast=28, slow=213 |
15.1% | -53.6% | 0.61 | 0.28 | 40.1x | 34 | 53% |
| ADX / DI 방향성 period=33, threshold=35 |
8.0% | -21.9% | 0.56 | 0.37 | 7.5x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=28, mult=3 |
9.6% | -41.6% | 0.49 | 0.23 | 11.0x | 84 | 30% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
7.9% | -45.3% | 0.48 | 0.17 | 7.2x | 22 | 9% |
| Supertrend period=28, mult=4.8 |
9.9% | -81.2% | 0.46 | 0.12 | 12.0x | 80 | 48% |
| ROC 모멘텀 n=86, threshold=0.1 |
9.8% | -64.0% | 0.45 | 0.15 | 11.6x | 270 | 39% |
| MACD fast=19, slow=48, signal=19 |
-7.1% | -96.1% | 0.08 | -0.07 | 0.1x | 283 | 53% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-8.2% | -93.0% | 0.02 | -0.09 | 0.1x | 539 | 51% |
| Buy and hold | 3.4% | -94.8% | 0.37 | 0.04 | 2.4x | 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 98 days
- Sell — Sell when price breaks below the lowest low of the last 67 days