Trend-Following Backtester · Guide · backtest 한국어
equity · SE
EQT AB backtest
10 trend-following strategies were compared on the full daily history of EQT AB. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 29.6%, MDD -44.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 20.7%, drawdown -64.7%).
Sharpe leader (same as main): Supertrend — CAGR 29.6%, MDD -44.3%, Sharpe 1.00, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 20.4%p (CAGR 29.6%, MDD -44.3%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=1.7 |
29.6% | -44.3% | 1.00 | 0.67 | 6.0x | 95 | 52% |
| 볼린저 밴드 돌파 n=21, k=0.9 |
18.9% | -46.2% | 0.75 | 0.41 | 3.3x | 100 | 47% |
| Donchian 채널 돌파 entryN=6, exitN=12 |
22.2% | -50.5% | 0.75 | 0.44 | 4.0x | 71 | 70% |
| MACD fast=7, slow=27, signal=7 |
19.9% | -55.0% | 0.74 | 0.36 | 3.5x | 156 | 50% |
| ADX / DI 방향성 period=31, threshold=40 |
3.8% | -13.1% | 0.73 | 0.29 | 1.3x | 4 | 2% |
| ROC 모멘텀 n=144, threshold=-0.01 |
18.9% | -41.4% | 0.72 | 0.46 | 3.3x | 55 | 54% |
| EMA 크로스오버 fast=24, slow=120 |
19.0% | -53.7% | 0.71 | 0.35 | 3.3x | 17 | 56% |
| Parabolic SAR step=0.01, maxStep=0.12 |
15.9% | -47.1% | 0.63 | 0.34 | 2.8x | 96 | 54% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=3.2 |
8.9% | -33.9% | 0.48 | 0.26 | 1.8x | 23 | 33% |
| SMA 크로스오버 fast=29, slow=124 |
9.9% | -65.1% | 0.46 | 0.15 | 1.9x | 21 | 54% |
| Buy and hold | 20.7% | -64.7% | 0.64 | 0.32 | 3.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 1.7× band
- Sell — Sell when price drops below the trend line (flips down)