Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Medicover AB Class B backtest
10 trend-following strategies were compared on the full daily history of Medicover AB Class B. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.4%, MDD -39.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.4%, drawdown -69.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.4%, MDD -39.1%, Sharpe 0.66, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 15.4%, MDD -39.1%, exposure 59%).
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=23, slow=103 |
15.4% | -39.1% | 0.66 | 0.39 | 3.7x | 23 | 59% |
| Donchian 채널 돌파 entryN=49, exitN=67 |
14.0% | -43.2% | 0.61 | 0.32 | 3.3x | 13 | 67% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=9, mult=3.1 |
1.9% | -2.4% | 0.59 | 0.78 | 1.2x | 2 | 1% |
| Supertrend period=19, mult=4.7 |
13.2% | -41.4% | 0.59 | 0.32 | 3.1x | 21 | 64% |
| 볼린저 밴드 돌파 n=69, k=1 |
12.2% | -33.3% | 0.59 | 0.37 | 2.9x | 39 | 48% |
| ROC 모멘텀 n=86, threshold=0.02 |
11.5% | -43.5% | 0.54 | 0.26 | 2.7x | 79 | 55% |
| ADX / DI 방향성 period=36, threshold=8 |
10.8% | -43.8% | 0.51 | 0.25 | 2.6x | 83 | 56% |
| EMA 크로스오버 fast=7, slow=203 |
10.1% | -53.1% | 0.49 | 0.19 | 2.4x | 23 | 61% |
| MACD fast=14, slow=51, signal=14 |
2.1% | -55.1% | 0.21 | 0.04 | 1.2x | 116 | 46% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-2.0% | -61.3% | 0.05 | -0.03 | 0.8x | 171 | 52% |
| Buy and hold | 14.4% | -69.6% | 0.55 | 0.21 | 3.4x | 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 23-day average price crosses above the 103-day average
- Sell — Sell (to cash) when the 23-day average falls below the 103-day average