Trend-Following Backtester · Guide · backtest 한국어
equity · SE
L E Lundbergforetagen AB Class B backtest
10 trend-following strategies were compared on the full daily history of L E Lundbergforetagen AB 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 11.1%, MDD -26.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.8%, drawdown -60.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -26.9%, Sharpe 0.71, 71% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 34.0%p (CAGR 11.1%, MDD -26.9%, exposure 71%).
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=195 |
11.1% | -26.9% | 0.71 | 0.41 | 16.4x | 25 | 71% |
| EMA 크로스오버 fast=44, slow=119 |
10.7% | -30.6% | 0.68 | 0.35 | 15.0x | 33 | 72% |
| ROC 모멘텀 n=137, threshold=-0.04 |
7.1% | -53.9% | 0.47 | 0.13 | 6.3x | 161 | 79% |
| 볼린저 밴드 돌파 n=24, k=3 |
2.1% | -11.6% | 0.45 | 0.18 | 1.7x | 30 | 8% |
| Donchian 채널 돌파 entryN=82, exitN=65 |
5.8% | -46.1% | 0.44 | 0.13 | 4.5x | 43 | 62% |
| Supertrend period=23, mult=5 |
4.6% | -47.0% | 0.37 | 0.10 | 3.3x | 83 | 59% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=3.7 |
2.2% | -32.0% | 0.28 | 0.07 | 1.8x | 70 | 26% |
| ADX / DI 방향성 period=20, threshold=26 |
1.1% | -24.0% | 0.19 | 0.05 | 1.3x | 90 | 15% |
| MACD fast=18, slow=45, signal=19 |
1.7% | -42.7% | 0.19 | 0.04 | 1.6x | 299 | 53% |
| Parabolic SAR step=0.02, maxStep=0.1 |
1.4% | -34.0% | 0.16 | 0.04 | 1.4x | 491 | 57% |
| Buy and hold | 11.8% | -60.9% | 0.60 | 0.19 | 19.6x | 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 195-day average
- Sell — Sell (to cash) when the 59-day average falls below the 195-day average