Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Investment AB Latour Class B backtest
10 trend-following strategies were compared on the full daily history of Investment AB Latour Class B. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.8%, MDD -33.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.9%, drawdown -59.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -33.1%, Sharpe 0.61, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 26.7%p (CAGR 10.8%, MDD -33.1%, exposure 62%).
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=18, slow=193 |
10.8% | -33.1% | 0.61 | 0.33 | 15.1x | 44 | 62% |
| EMA 크로스오버 fast=52, slow=110 |
10.1% | -39.6% | 0.57 | 0.25 | 12.8x | 42 | 65% |
| Donchian 채널 돌파 entryN=81, exitN=37 |
7.4% | -41.6% | 0.50 | 0.18 | 6.7x | 55 | 47% |
| ROC 모멘텀 n=130, threshold=0 |
7.1% | -47.7% | 0.44 | 0.15 | 6.2x | 174 | 63% |
| Supertrend period=9, mult=4.9 |
7.0% | -46.9% | 0.44 | 0.15 | 6.1x | 92 | 55% |
| ADX / DI 방향성 period=20, threshold=34 |
2.1% | -24.3% | 0.34 | 0.09 | 1.7x | 42 | 8% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.1% | -55.4% | 0.29 | 0.07 | 2.9x | 229 | 55% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=1.8 |
3.2% | -48.2% | 0.27 | 0.07 | 2.3x | 156 | 45% |
| 볼린저 밴드 돌파 n=51, k=2.8 |
2.3% | -36.9% | 0.27 | 0.06 | 1.8x | 52 | 19% |
| MACD fast=16, slow=40, signal=15 |
-0.5% | -68.1% | 0.07 | -0.01 | 0.9x | 351 | 51% |
| Buy and hold | 11.9% | -59.8% | 0.53 | 0.20 | 19.7x | 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 18-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 18-day average falls below the 193-day average