Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Camurus AB backtest
10 trend-following strategies were compared on the full daily history of Camurus AB. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 23.4%, drawdown -58.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.4%, MDD -47.2%, Sharpe 0.72, 60% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=57, slow=107 |
20.4% | -47.2% | 0.72 | 0.43 | 7.3x | 21 | 60% |
| ROC 모멘텀 n=147, threshold=0.1 |
12.3% | -39.4% | 0.57 | 0.31 | 3.5x | 80 | 51% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=29, mult=3.5 |
4.2% | -15.6% | 0.57 | 0.27 | 1.6x | 8 | 4% |
| Donchian 채널 돌파 entryN=23, exitN=124 |
11.1% | -73.4% | 0.47 | 0.15 | 3.1x | 19 | 82% |
| 볼린저 밴드 돌파 n=16, k=3 |
4.4% | -22.9% | 0.45 | 0.19 | 1.6x | 26 | 9% |
| Supertrend period=16, mult=4.8 |
9.6% | -63.0% | 0.45 | 0.15 | 2.7x | 31 | 63% |
| EMA 크로스오버 fast=57, slow=195 |
8.3% | -54.4% | 0.41 | 0.15 | 2.4x | 17 | 65% |
| Parabolic SAR step=0.025, maxStep=0.34 |
4.7% | -60.9% | 0.30 | 0.08 | 1.6x | 258 | 54% |
| ADX / DI 방향성 period=25, threshold=35 |
1.5% | -17.3% | 0.30 | 0.09 | 1.2x | 2 | 2% |
| MACD fast=8, slow=25, signal=9 |
4.0% | -65.2% | 0.28 | 0.06 | 1.5x | 240 | 50% |
| Buy and hold | 23.4% | -58.9% | 0.70 | 0.40 | 9.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 57-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 57-day average falls below the 107-day average