Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Paradox Interactive AB backtest
10 trend-following strategies were compared on the full daily history of Paradox Interactive AB. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.1%, MDD -50.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 11.9%, drawdown -63.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.1%, MDD -58.5%, Sharpe 0.67, 49% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 4.9%p (CAGR 12.1%, MDD -50.6%, exposure 49%).
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=30, slow=134 |
17.1% | -58.5% | 0.67 | 0.29 | 5.0x | 15 | 49% |
| EMA 크로스오버 fast=50, slow=64 |
13.7% | -55.4% | 0.58 | 0.25 | 3.7x | 18 | 50% |
| Donchian 채널 돌파 entryN=60, exitN=38 |
12.3% | -51.2% | 0.56 | 0.24 | 3.2x | 18 | 43% |
| Supertrend period=25, mult=4.7 |
12.1% | -50.6% | 0.55 | 0.24 | 3.2x | 27 | 49% |
| ROC 모멘텀 n=110, threshold=0.09 |
12.3% | -58.1% | 0.55 | 0.21 | 3.3x | 71 | 42% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
5.2% | -18.9% | 0.44 | 0.28 | 1.7x | 6 | 9% |
| ADX / DI 방향성 period=11, threshold=38 |
3.4% | -23.1% | 0.37 | 0.15 | 1.4x | 32 | 8% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=10, mult=1.4 |
4.5% | -44.1% | 0.30 | 0.10 | 1.6x | 83 | 35% |
| MACD fast=14, slow=47, signal=17 |
3.9% | -50.7% | 0.27 | 0.08 | 1.5x | 123 | 50% |
| Parabolic SAR step=0.025, maxStep=0.1 |
-0.1% | -65.3% | 0.15 | -0.00 | 1.0x | 207 | 50% |
| Buy and hold | 11.9% | -63.4% | 0.48 | 0.19 | 3.1x | 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 30-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 30-day average falls below the 134-day average