Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Swedbank AB Class A backtest
10 trend-following strategies were compared on the full daily history of Swedbank AB Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.1%, MDD -46.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.9%, drawdown -93.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.7%, MDD -46.7%, Sharpe 0.55, 62% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.1%, MDD -46.4%, exposure 76%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 46.8%p (CAGR 10.1%, MDD -46.4%, exposure 76%).
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=52, slow=147 |
9.7% | -46.7% | 0.55 | 0.21 | 11.6x | 39 | 62% |
| Donchian 채널 돌파 entryN=35, exitN=99 |
10.1% | -46.4% | 0.53 | 0.22 | 12.9x | 37 | 76% |
| EMA 크로스오버 fast=52, slow=110 |
8.0% | -55.0% | 0.48 | 0.15 | 7.7x | 37 | 66% |
| ROC 모멘텀 n=136, threshold=-0.03 |
5.6% | -69.8% | 0.37 | 0.08 | 4.2x | 171 | 69% |
| Supertrend period=26, mult=5 |
3.1% | -63.2% | 0.25 | 0.05 | 2.3x | 79 | 55% |
| 볼린저 밴드 돌파 n=54, k=1.5 |
2.3% | -43.1% | 0.22 | 0.05 | 1.8x | 143 | 41% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=1.4 |
1.3% | -54.5% | 0.16 | 0.02 | 1.4x | 197 | 46% |
| ADX / DI 방향성 period=21, threshold=22 |
1.2% | -47.6% | 0.16 | 0.03 | 1.4x | 115 | 17% |
| Parabolic SAR step=0.005, maxStep=0.14 |
0.7% | -64.8% | 0.14 | 0.01 | 1.2x | 233 | 56% |
| MACD fast=13, slow=30, signal=14 |
-3.7% | -85.7% | -0.06 | -0.04 | 0.4x | 408 | 51% |
| Buy and hold | 4.9% | -93.5% | 0.31 | 0.05 | 3.6x | 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 52-day average price crosses above the 147-day average
- Sell — Sell (to cash) when the 52-day average falls below the 147-day average