Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Svenska Handelsbanken AB Class A backtest
10 trend-following strategies were compared on the full daily history of Svenska Handelsbanken AB Class A. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.6%, drawdown -63.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.6%, MDD -62.3%, Sharpe 0.33, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
5.6% | -62.3% | 0.33 | 0.09 | 4.2x | 15 | 100% |
| SMA 크로스오버 fast=45, slow=211 |
2.3% | -48.6% | 0.22 | 0.05 | 1.8x | 39 | 56% |
| EMA 크로스오버 fast=57, slow=205 |
1.3% | -57.4% | 0.16 | 0.02 | 1.4x | 39 | 61% |
| Donchian 채널 돌파 entryN=77, exitN=90 |
1.3% | -50.3% | 0.16 | 0.03 | 1.4x | 39 | 56% |
| Supertrend period=22, mult=4.9 |
-1.4% | -73.9% | 0.02 | -0.02 | 0.7x | 91 | 53% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
0.0% | -6.7% | 0.02 | 0.00 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=28, threshold=24 |
-0.8% | -34.8% | -0.10 | -0.02 | 0.8x | 32 | 5% |
| MACD fast=15, slow=23, signal=17 |
-3.8% | -78.1% | -0.11 | -0.05 | 0.4x | 396 | 52% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=8, mult=3.8 |
-0.8% | -27.3% | -0.19 | -0.03 | 0.8x | 18 | 3% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-8.4% | -92.7% | -0.35 | -0.09 | 0.1x | 479 | 51% |
| Buy and hold | 5.6% | -63.2% | 0.33 | 0.09 | 4.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -10%
- Sell — Sell when the 1-day return drops to -10% or below