Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Scandic Hotels Group AB backtest
10 trend-following strategies were compared on the full daily history of Scandic Hotels Group AB. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 6.2%, MDD -41.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.5%, drawdown -80.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.5%, MDD -4.2%, Sharpe 0.61, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.4%, MDD -55.8%, exposure 87%.
Return/drawdown alternative: Parabolic SAR — CAGR is 4.0%p lower than buy and hold, while drawdown improves by 76.2%p (CAGR 6.2%, MDD -41.2%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=17, threshold=50 |
2.5% | -4.2% | 0.61 | 0.61 | 1.3x | 2 | 2% |
| Donchian 채널 돌파 entryN=16, exitN=75 |
8.4% | -55.8% | 0.41 | 0.15 | 2.4x | 23 | 87% |
| MACD fast=18, slow=24, signal=9 |
7.4% | -50.3% | 0.38 | 0.15 | 2.2x | 183 | 51% |
| Parabolic SAR step=0.025, maxStep=0.3 |
6.2% | -41.2% | 0.34 | 0.15 | 1.9x | 253 | 54% |
| ROC 모멘텀 n=86, threshold=-0.08 |
3.9% | -62.8% | 0.28 | 0.06 | 1.5x | 85 | 76% |
| SMA 크로스오버 fast=13, slow=46 |
2.6% | -60.1% | 0.23 | 0.04 | 1.3x | 67 | 56% |
| 볼린저 밴드 돌파 n=50, k=3 |
2.1% | -41.9% | 0.22 | 0.05 | 1.3x | 20 | 18% |
| Supertrend period=20, mult=3.4 |
1.9% | -48.4% | 0.21 | 0.04 | 1.2x | 61 | 54% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=1.2 |
0.7% | -39.2% | 0.14 | 0.02 | 1.1x | 131 | 33% |
| EMA 크로스오버 fast=25, slow=145 |
-2.2% | -76.6% | 0.04 | -0.03 | 0.8x | 28 | 61% |
| Buy and hold | 6.5% | -80.4% | 0.36 | 0.08 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 17-day) is ≥ 50
- Sell — Sell when direction flips or the trend weakens (ADX < 50)