Trend-Following Backtester · Guide · backtest 한국어
equity · SE
BONESUPPORT HOLDING AB backtest
10 trend-following strategies were compared on the full daily history of BONESUPPORT HOLDING AB. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.3%, MDD -38.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 23.2%, drawdown -71.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 31.4%, MDD -42.1%, Sharpe 0.96, 64% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 23.3%, MDD -38.9%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=176, threshold=0.02 |
31.4% | -42.1% | 0.96 | 0.75 | 12.3x | 19 | 64% |
| SMA 크로스오버 fast=25, slow=55 |
28.8% | -43.2% | 0.87 | 0.67 | 10.2x | 33 | 60% |
| ADX / DI 방향성 period=30, threshold=15 |
23.3% | -38.9% | 0.80 | 0.60 | 6.9x | 60 | 49% |
| EMA 크로스오버 fast=68, slow=210 |
25.1% | -53.8% | 0.79 | 0.47 | 7.8x | 4 | 64% |
| Donchian 채널 돌파 entryN=7, exitN=47 |
27.2% | -67.5% | 0.74 | 0.40 | 9.1x | 31 | 84% |
| Supertrend period=17, mult=3 |
20.5% | -45.0% | 0.70 | 0.45 | 5.5x | 49 | 54% |
| 볼린저 밴드 돌파 n=47, k=3.1 |
13.0% | -25.8% | 0.60 | 0.50 | 3.1x | 22 | 26% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=1.7 |
13.7% | -42.9% | 0.55 | 0.32 | 3.3x | 50 | 48% |
| MACD fast=17, slow=55, signal=7 |
9.4% | -63.7% | 0.42 | 0.15 | 2.3x | 139 | 51% |
| Parabolic SAR step=0.015, maxStep=0.24 |
7.0% | -56.9% | 0.37 | 0.12 | 1.9x | 166 | 51% |
| Buy and hold | 23.2% | -71.2% | 0.66 | 0.33 | 6.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 176-day return is greater than 2%
- Sell — Sell when the 176-day return drops to 2% or below