Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Hufvudstaden AB Class A backtest
10 trend-following strategies were compared on the full daily history of Hufvudstaden AB Class A. 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 5.4%, drawdown -56.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.0%, MDD -22.8%, Sharpe 0.35, 8% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.3%, MDD -61.0%, exposure 60%.
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=59, k=3.5 |
2.0% | -22.8% | 0.35 | 0.09 | 1.7x | 12 | 8% |
| EMA 크로스오버 fast=61, slow=356 |
3.3% | -61.0% | 0.27 | 0.05 | 2.3x | 26 | 60% |
| SMA 크로스오버 fast=40, slow=211 |
2.5% | -57.7% | 0.23 | 0.04 | 1.9x | 42 | 58% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=2.9 |
1.5% | -38.0% | 0.19 | 0.04 | 1.5x | 82 | 31% |
| Donchian 채널 돌파 entryN=31, exitN=74 |
0.4% | -57.7% | 0.12 | 0.01 | 1.1x | 64 | 70% |
| ADX / DI 방향성 period=33, threshold=31 |
0.1% | -8.8% | 0.10 | 0.01 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=219, threshold=-0.04 |
-0.2% | -70.6% | 0.08 | -0.00 | 1.0x | 190 | 69% |
| Supertrend period=20, mult=3.5 |
-0.2% | -53.2% | 0.08 | -0.00 | 1.0x | 128 | 57% |
| MACD fast=21, slow=45, signal=24 |
-5.3% | -81.7% | -0.22 | -0.06 | 0.2x | 272 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-5.4% | -87.7% | -0.23 | -0.06 | 0.2x | 242 | 54% |
| Buy and hold | 5.4% | -56.1% | 0.33 | 0.10 | 4.0x | 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 59-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 59-day middle average