Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Lagercrantz Group AB Class B backtest
10 trend-following strategies were compared on the full daily history of Lagercrantz Group AB Class B. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.1%, MDD -44.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.2%, drawdown -61.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.8%, MDD -44.9%, Sharpe 0.66, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.1%, MDD -44.1%, exposure 76%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 16.6%p (CAGR 16.1%, MDD -44.1%, exposure 76%).
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=59, slow=106 |
15.8% | -44.9% | 0.66 | 0.35 | 38.4x | 57 | 67% |
| Donchian 채널 돌파 entryN=55, exitN=97 |
16.1% | -44.1% | 0.65 | 0.37 | 41.5x | 27 | 76% |
| EMA 크로스오버 fast=55, slow=195 |
12.5% | -45.3% | 0.55 | 0.28 | 18.9x | 33 | 72% |
| ROC 모멘텀 n=79, threshold=-0.11 |
13.1% | -57.6% | 0.55 | 0.23 | 21.5x | 141 | 86% |
| Supertrend period=20, mult=4.8 |
8.4% | -54.1% | 0.43 | 0.15 | 7.4x | 80 | 63% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
4.6% | -47.2% | 0.32 | 0.10 | 3.0x | 96 | 38% |
| ADX / DI 방향성 period=37, threshold=25 |
2.2% | -19.7% | 0.28 | 0.11 | 1.7x | 16 | 6% |
| Parabolic SAR step=0.015, maxStep=0.3 |
2.0% | -55.0% | 0.20 | 0.04 | 1.6x | 416 | 54% |
| MACD fast=19, slow=56, signal=19 |
-0.6% | -70.8% | 0.10 | -0.01 | 0.9x | 272 | 49% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=17, mult=3.5 |
0.0% | -48.4% | 0.07 | 0.00 | 1.0x | 72 | 17% |
| Buy and hold | 18.2% | -61.4% | 0.63 | 0.30 | 64.7x | 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 59-day average price crosses above the 106-day average
- Sell — Sell (to cash) when the 59-day average falls below the 106-day average