Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Bravida Holding AB backtest
10 trend-following strategies were compared on the full daily history of Bravida Holding AB. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.4%, drawdown -52.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.4%, MDD -37.6%, Sharpe 0.44, 81% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=27, exitN=114 |
8.4% | -37.6% | 0.44 | 0.22 | 2.4x | 19 | 81% |
| SMA 크로스오버 fast=9, slow=174 |
3.8% | -44.4% | 0.28 | 0.09 | 1.5x | 31 | 60% |
| ROC 모멘텀 n=157, threshold=-0.04 |
3.0% | -40.6% | 0.24 | 0.07 | 1.4x | 63 | 70% |
| EMA 크로스오버 fast=10, slow=163 |
2.8% | -43.8% | 0.24 | 0.06 | 1.4x | 37 | 62% |
| Supertrend period=28, mult=2.8 |
1.7% | -54.2% | 0.19 | 0.03 | 1.2x | 83 | 53% |
| MACD fast=8, slow=38, signal=16 |
-1.7% | -47.4% | 0.02 | -0.04 | 0.8x | 173 | 49% |
| 볼린저 밴드 돌파 n=55, k=1.7 |
-1.1% | -40.4% | 0.01 | -0.03 | 0.9x | 53 | 37% |
| ADX / DI 방향성 period=45, threshold=7 |
-1.8% | -52.7% | 0.01 | -0.03 | 0.8x | 119 | 53% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-2.3% | -60.6% | -0.01 | -0.04 | 0.8x | 197 | 54% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=11, mult=1.1 |
-4.9% | -56.7% | -0.19 | -0.09 | 0.6x | 121 | 44% |
| Buy and hold | 11.4% | -52.3% | 0.51 | 0.22 | 3.2x | 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 27 days
- Sell — Sell when price breaks below the lowest low of the last 114 days