Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Saab AB Class B backtest
10 trend-following strategies were compared on the full daily history of Saab 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 14.4%, drawdown -76.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.8%, MDD -5.8%, Sharpe 0.55, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.9%, MDD -69.3%, exposure 58%.
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=6, atrPeriod=18, mult=3.1 |
2.8% | -5.8% | 0.55 | 0.49 | 2.1x | 12 | 1% |
| SMA 크로스오버 fast=57, slow=91 |
9.9% | -69.3% | 0.50 | 0.14 | 12.3x | 77 | 58% |
| Supertrend period=17, mult=4.8 |
9.7% | -54.1% | 0.49 | 0.18 | 11.8x | 85 | 59% |
| Donchian 채널 돌파 entryN=68, exitN=51 |
7.7% | -50.9% | 0.46 | 0.15 | 7.3x | 55 | 51% |
| EMA 크로스오버 fast=24, slow=201 |
8.4% | -66.3% | 0.44 | 0.13 | 8.6x | 51 | 66% |
| 볼린저 밴드 돌파 n=17, k=3.1 |
3.1% | -32.6% | 0.42 | 0.10 | 2.3x | 36 | 6% |
| MACD fast=30, slow=62, signal=27 |
7.1% | -52.3% | 0.42 | 0.14 | 6.2x | 193 | 50% |
| ROC 모멘텀 n=95, threshold=0.09 |
6.1% | -61.0% | 0.38 | 0.10 | 4.9x | 256 | 40% |
| ADX / DI 방향성 period=38, threshold=22 |
2.9% | -24.1% | 0.32 | 0.12 | 2.2x | 36 | 11% |
| Parabolic SAR step=0.01, maxStep=0.22 |
3.0% | -54.1% | 0.24 | 0.06 | 2.2x | 354 | 54% |
| Buy and hold | 14.4% | -76.6% | 0.57 | 0.19 | 36.1x | 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 6-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 6-day average