Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Trelleborg AB Class B backtest
10 trend-following strategies were compared on the full daily history of Trelleborg AB Class B. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.0%, MDD -42.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.8%, drawdown -89.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -63.0%, Sharpe 0.53, 80% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 9.0%, MDD -42.5%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=13, exitN=44 |
11.3% | -63.0% | 0.53 | 0.18 | 17.1x | 113 | 80% |
| ROC 모멘텀 n=84, threshold=-0.03 |
9.0% | -42.5% | 0.49 | 0.21 | 10.0x | 219 | 66% |
| EMA 크로스오버 fast=28, slow=38 |
7.8% | -49.7% | 0.44 | 0.16 | 7.3x | 109 | 61% |
| Supertrend period=29, mult=3.8 |
7.4% | -50.4% | 0.43 | 0.15 | 6.7x | 139 | 60% |
| SMA 크로스오버 fast=58, slow=148 |
6.9% | -60.9% | 0.41 | 0.11 | 6.0x | 51 | 62% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=27, mult=0.9 |
5.0% | -52.2% | 0.34 | 0.10 | 3.6x | 253 | 53% |
| Parabolic SAR step=0.015, maxStep=0.2 |
4.9% | -58.2% | 0.32 | 0.08 | 3.6x | 473 | 54% |
| MACD fast=17, slow=46, signal=20 |
4.3% | -55.6% | 0.29 | 0.08 | 3.0x | 284 | 52% |
| 볼린저 밴드 돌파 n=36, k=2.8 |
2.7% | -40.8% | 0.26 | 0.07 | 2.0x | 66 | 18% |
| ADX / DI 방향성 period=28, threshold=16 |
3.0% | -39.2% | 0.25 | 0.08 | 2.2x | 196 | 32% |
| Buy and hold | 9.8% | -89.9% | 0.44 | 0.11 | 12.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 13 days
- Sell — Sell when price breaks below the lowest low of the last 44 days