Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Volvo AB Class A backtest
10 trend-following strategies were compared on the full daily history of Volvo AB Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.1%, MDD -54.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.2%, drawdown -87.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -54.0%, Sharpe 0.45, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 33.5%p (CAGR 8.1%, MDD -54.0%, exposure 64%).
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=46, slow=139 |
8.1% | -54.0% | 0.45 | 0.15 | 8.0x | 45 | 64% |
| EMA 크로스오버 fast=34, slow=95 |
6.5% | -48.3% | 0.39 | 0.13 | 5.3x | 59 | 63% |
| ROC 모멘텀 n=149, threshold=-0.02 |
4.3% | -69.3% | 0.30 | 0.06 | 3.1x | 207 | 66% |
| Donchian 채널 돌파 entryN=104, exitN=70 |
4.1% | -55.6% | 0.29 | 0.07 | 2.9x | 43 | 53% |
| Supertrend period=22, mult=4.3 |
-32.8% | -100.0% | 0.24 | -0.33 | 0.0x | 129 | 58% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
2.2% | -37.9% | 0.21 | 0.06 | 1.8x | 135 | 42% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=15, mult=1.8 |
0.7% | -47.8% | 0.13 | 0.02 | 1.2x | 165 | 47% |
| ADX / DI 방향성 period=38, threshold=14 |
-0.5% | -42.9% | 0.04 | -0.01 | 0.9x | 133 | 26% |
| MACD fast=26, slow=55, signal=23 |
-20.0% | -99.9% | -0.20 | -0.20 | 0.0x | 232 | 52% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-22.7% | -99.9% | -0.29 | -0.23 | 0.0x | 240 | 55% |
| Buy and hold | 8.2% | -87.6% | 0.57 | 0.09 | 8.2x | 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 46-day average price crosses above the 139-day average
- Sell — Sell (to cash) when the 46-day average falls below the 139-day average