Trend-Following Backtester · Guide · backtest 한국어

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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 10.9%, MDD -42.2%).

Data 2000-01-03 ~ 2026-07-31daily bars 6,743 (26.6 years)Costs 0.5%Venue OMXSTOMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 10.4%, drawdown -68.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.9%, MDD -42.2%, Sharpe 0.52, 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 10.9%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=35, exitN=79
10.9%-42.2%0.520.2615.7x5370%
EMA 크로스오버
fast=12, slow=174
9.4%-46.5%0.490.2010.9x6159%
SMA 크로스오버
fast=52, slow=114
9.3%-59.6%0.480.1610.6x5958%
ROC 모멘텀
n=107, threshold=-0.06
8.6%-50.8%0.450.179.0x17771%
볼린저 밴드 돌파
n=73, k=1
5.4%-55.9%0.360.104.1x12646%
Supertrend
period=31, mult=4.9
5.4%-52.8%0.340.104.0x9152%
Parabolic SAR
step=0.005, maxStep=0.32
4.3%-76.5%0.290.063.1x20154%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=19, mult=2.2
1.0%-66.7%0.150.021.3x14439%
ADX / DI 방향성
period=23, threshold=11
-1.0%-81.9%0.07-0.010.8x37545%
MACD
fast=9, slow=24, signal=18
-3.0%-93.3%-0.02-0.030.4x46951%
Buy and hold10.4%-68.3%0.460.1514.0x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -51% -68% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -42.2% (2022-01-05 → 2023-06-01), recovered after 681 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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