Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Getinge AB Class B backtest
10 trend-following strategies were compared on the full daily history of Getinge AB Class B. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -61.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.8%, MDD -23.0%, Sharpe 0.44, 13% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.2%, MDD -73.0%, exposure 70%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=39, k=3.3 |
3.8% | -23.0% | 0.44 | 0.16 | 2.7x | 37 | 13% |
| ADX / DI 방향성 period=39, threshold=28 |
2.0% | -10.8% | 0.41 | 0.19 | 1.7x | 10 | 4% |
| ROC 모멘텀 n=185, threshold=-0.05 |
7.2% | -73.0% | 0.40 | 0.10 | 6.3x | 157 | 70% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=9, mult=3.2 |
4.0% | -47.0% | 0.34 | 0.09 | 2.9x | 83 | 30% |
| Donchian 채널 돌파 entryN=7, exitN=26 |
4.8% | -67.6% | 0.31 | 0.07 | 3.5x | 183 | 80% |
| EMA 크로스오버 fast=94, slow=232 |
4.6% | -67.3% | 0.31 | 0.07 | 3.3x | 29 | 64% |
| SMA 크로스오버 fast=58, slow=135 |
3.9% | -69.9% | 0.28 | 0.06 | 2.8x | 57 | 55% |
| MACD fast=23, slow=74, signal=25 |
1.0% | -70.9% | 0.15 | 0.01 | 1.3x | 221 | 53% |
| Supertrend period=21, mult=3.5 |
0.2% | -69.9% | 0.12 | 0.00 | 1.1x | 151 | 56% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.8% | -81.9% | -0.03 | -0.03 | 0.5x | 227 | 52% |
| Buy and hold | 10.6% | -61.5% | 0.48 | 0.17 | 14.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 39-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 39-day middle average