Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Sinch AB backtest
10 trend-following strategies were compared on the full daily history of Sinch AB. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.2%, MDD -37.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 20.1%, drawdown -93.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 44.9%, MDD -47.1%, Sharpe 1.10, 56% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 44.9%, MDD -60.3%, exposure 60%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 24.8%p higher than buy and hold, while drawdown improves by 45.9%p (CAGR 21.2%, MDD -37.9%, exposure 27%).
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=23, slow=59 |
44.9% | -47.1% | 1.10 | 0.95 | 56.9x | 37 | 56% |
| Donchian 채널 돌파 entryN=30, exitN=51 |
44.9% | -60.3% | 1.05 | 0.75 | 57.1x | 23 | 60% |
| Supertrend period=13, mult=3.4 |
40.4% | -47.7% | 1.01 | 0.85 | 40.3x | 51 | 53% |
| EMA 크로스오버 fast=17, slow=47 |
37.4% | -59.8% | 0.96 | 0.63 | 31.8x | 39 | 57% |
| ROC 모멘텀 n=43, threshold=-0.02 |
37.7% | -61.7% | 0.93 | 0.61 | 32.5x | 115 | 59% |
| Parabolic SAR step=0.025, maxStep=0.08 |
32.1% | -65.0% | 0.85 | 0.49 | 20.8x | 183 | 51% |
| ADX / DI 방향성 period=18, threshold=25 |
25.3% | -39.0% | 0.84 | 0.65 | 11.7x | 74 | 27% |
| 볼린저 밴드 돌파 n=34, k=2 |
26.1% | -55.3% | 0.81 | 0.47 | 12.5x | 59 | 36% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=2.3 |
21.2% | -37.9% | 0.76 | 0.56 | 8.1x | 55 | 27% |
| MACD fast=13, slow=57, signal=11 |
15.7% | -89.3% | 0.54 | 0.18 | 4.9x | 127 | 53% |
| Buy and hold | 20.1% | -93.0% | 0.61 | 0.22 | 7.4x | 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 23-day average price crosses above the 59-day average
- Sell — Sell (to cash) when the 23-day average falls below the 59-day average