Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Fabege AB backtest
10 trend-following strategies were compared on the full daily history of Fabege AB. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.1%, MDD -49.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.6%, drawdown -80.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -53.4%, Sharpe 0.47, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 27.3%p (CAGR 7.1%, MDD -49.6%, exposure 61%).
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=39, slow=262 |
7.8% | -53.4% | 0.47 | 0.15 | 6.1x | 24 | 62% |
| EMA 크로스오버 fast=63, slow=247 |
7.1% | -49.6% | 0.44 | 0.14 | 5.2x | 20 | 61% |
| ADX / DI 방향성 period=38, threshold=36 |
1.1% | -6.0% | 0.42 | 0.18 | 1.3x | 4 | 2% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
1.9% | -13.4% | 0.40 | 0.14 | 1.6x | 14 | 6% |
| ROC 모멘텀 n=113, threshold=-0.08 |
4.4% | -71.0% | 0.30 | 0.06 | 2.9x | 159 | 76% |
| Donchian 채널 돌파 entryN=15, exitN=78 |
2.6% | -78.3% | 0.23 | 0.03 | 1.8x | 63 | 84% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=2.1 |
2.3% | -47.9% | 0.22 | 0.05 | 1.7x | 112 | 43% |
| Parabolic SAR step=0.015, maxStep=0.08 |
1.1% | -63.3% | 0.16 | 0.02 | 1.3x | 370 | 56% |
| Supertrend period=18, mult=5 |
0.6% | -60.4% | 0.13 | 0.01 | 1.1x | 76 | 56% |
| MACD fast=18, slow=45, signal=18 |
-0.8% | -74.4% | 0.07 | -0.01 | 0.8x | 275 | 52% |
| Buy and hold | 5.6% | -80.7% | 0.33 | 0.07 | 3.7x | 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 39-day average price crosses above the 262-day average
- Sell — Sell (to cash) when the 39-day average falls below the 262-day average