Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Clas Ohlson AB Class B backtest
10 trend-following strategies were compared on the full daily history of Clas Ohlson AB Class B. 1 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 -42.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.8%, drawdown -68.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -42.2%, Sharpe 0.53, 70% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 11.3%, MDD -42.2%, exposure 70%).
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=35, exitN=79 |
11.3% | -42.2% | 0.53 | 0.27 | 17.3x | 53 | 70% |
| EMA 크로스오버 fast=12, slow=174 |
9.8% | -46.5% | 0.50 | 0.21 | 12.0x | 61 | 59% |
| SMA 크로스오버 fast=52, slow=114 |
9.6% | -59.6% | 0.50 | 0.16 | 11.7x | 59 | 58% |
| ROC 모멘텀 n=107, threshold=-0.06 |
9.0% | -50.8% | 0.46 | 0.18 | 9.9x | 177 | 71% |
| 볼린저 밴드 돌파 n=73, k=1 |
5.6% | -55.9% | 0.36 | 0.10 | 4.3x | 127 | 46% |
| Supertrend period=31, mult=4.9 |
5.7% | -52.8% | 0.35 | 0.11 | 4.4x | 91 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
4.7% | -76.5% | 0.31 | 0.06 | 3.4x | 201 | 54% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=19, mult=2.2 |
1.1% | -66.7% | 0.15 | 0.02 | 1.3x | 145 | 39% |
| ADX / DI 방향성 period=23, threshold=11 |
-1.0% | -81.9% | 0.07 | -0.01 | 0.8x | 376 | 45% |
| MACD fast=9, slow=24, signal=18 |
-2.7% | -93.3% | 0.00 | -0.03 | 0.5x | 469 | 51% |
| Buy and hold | 10.8% | -68.3% | 0.47 | 0.16 | 15.4x | 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 35 days
- Sell — Sell when price breaks below the lowest low of the last 79 days