Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Pandox AB Class B backtest
10 trend-following strategies were compared on the full daily history of Pandox AB Class B. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -77.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.6%, MDD -5.6%, Sharpe 0.38, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.2%, MDD -24.0%, exposure 22%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=24, mult=3.7 |
1.6% | -5.6% | 0.38 | 0.29 | 1.2x | 2 | 1% |
| 볼린저 밴드 돌파 n=19, k=3 |
1.8% | -11.9% | 0.30 | 0.15 | 1.2x | 16 | 6% |
| ROC 모멘텀 n=163, threshold=0.19 |
3.2% | -24.0% | 0.27 | 0.13 | 1.4x | 60 | 22% |
| ADX / DI 방향성 period=26, threshold=25 |
0.6% | -8.5% | 0.17 | 0.06 | 1.1x | 8 | 3% |
| Donchian 채널 돌파 entryN=71, exitN=76 |
1.2% | -41.3% | 0.16 | 0.03 | 1.1x | 16 | 60% |
| Supertrend period=9, mult=1.6 |
-0.9% | -44.8% | 0.08 | -0.02 | 0.9x | 167 | 54% |
| MACD fast=7, slow=22, signal=18 |
-2.3% | -52.2% | 0.02 | -0.04 | 0.8x | 221 | 47% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-3.1% | -47.7% | -0.03 | -0.07 | 0.7x | 253 | 53% |
| SMA 크로스오버 fast=48, slow=80 |
-3.6% | -69.0% | -0.08 | -0.05 | 0.7x | 46 | 58% |
| EMA 크로스오버 fast=27, slow=66 |
-4.3% | -65.1% | -0.14 | -0.07 | 0.6x | 44 | 55% |
| Buy and hold | 4.6% | -77.6% | 0.30 | 0.06 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 7-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average