Trend-Following Backtester · Guide · backtest 한국어
equity · SE
NIBE Industrier AB Class B backtest
10 trend-following strategies were compared on the full daily history of NIBE Industrier 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 18.8%, MDD -52.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.9%, drawdown -77.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.8%, MDD -52.9%, Sharpe 0.80, 72% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 24.5%p (CAGR 18.8%, MDD -52.9%, exposure 72%).
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=45, slow=318 |
18.8% | -52.9% | 0.80 | 0.36 | 99.8x | 20 | 72% |
| EMA 크로스오버 fast=44, slow=200 |
18.2% | -54.0% | 0.77 | 0.34 | 86.5x | 25 | 74% |
| ROC 모멘텀 n=122, threshold=-0.09 |
17.8% | -75.7% | 0.72 | 0.24 | 79.6x | 121 | 82% |
| Donchian 채널 돌파 entryN=82, exitN=77 |
14.5% | -44.7% | 0.67 | 0.33 | 37.1x | 35 | 69% |
| ADX / DI 방향성 period=39, threshold=20 |
6.0% | -21.2% | 0.53 | 0.28 | 4.7x | 54 | 17% |
| Supertrend period=13, mult=2.3 |
9.9% | -63.8% | 0.51 | 0.15 | 12.3x | 277 | 60% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=10, mult=1.4 |
8.9% | -62.3% | 0.51 | 0.14 | 9.7x | 213 | 51% |
| MACD fast=20, slow=39, signal=19 |
6.9% | -65.1% | 0.41 | 0.11 | 5.9x | 277 | 51% |
| 볼린저 밴드 돌파 n=46, k=0.6 |
6.3% | -77.5% | 0.38 | 0.08 | 5.1x | 265 | 56% |
| Parabolic SAR step=0.02, maxStep=0.36 |
3.9% | -73.3% | 0.28 | 0.05 | 2.8x | 533 | 55% |
| Buy and hold | 18.9% | -77.5% | 0.68 | 0.24 | 100.2x | 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 45-day average price crosses above the 318-day average
- Sell — Sell (to cash) when the 45-day average falls below the 318-day average