Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Wallenstam AB Class B backtest
10 trend-following strategies were compared on the full daily history of Wallenstam AB Class B. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.2%, MDD -34.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.3%, drawdown -71.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.2%, MDD -34.1%, Sharpe 0.82, 74% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 37.4%p (CAGR 16.2%, MDD -34.1%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=57, slow=213 |
16.2% | -34.1% | 0.82 | 0.48 | 54.3x | 16 | 74% |
| Donchian 채널 돌파 entryN=119, exitN=84 |
14.8% | -35.7% | 0.81 | 0.42 | 39.5x | 28 | 63% |
| SMA 크로스오버 fast=78, slow=210 |
14.1% | -35.3% | 0.74 | 0.40 | 33.1x | 28 | 69% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=28, mult=3.3 |
6.7% | -24.6% | 0.68 | 0.27 | 5.6x | 68 | 16% |
| ADX / DI 방향성 period=33, threshold=30 |
4.9% | -17.3% | 0.67 | 0.28 | 3.6x | 16 | 9% |
| Supertrend period=32, mult=5 |
10.7% | -48.6% | 0.63 | 0.22 | 14.9x | 82 | 61% |
| 볼린저 밴드 돌파 n=54, k=2.5 |
7.5% | -31.7% | 0.59 | 0.24 | 6.8x | 74 | 30% |
| Parabolic SAR step=0.005, maxStep=0.3 |
9.6% | -54.3% | 0.55 | 0.18 | 11.4x | 211 | 57% |
| ROC 모멘텀 n=73, threshold=-0.04 |
9.8% | -64.7% | 0.54 | 0.15 | 12.1x | 275 | 73% |
| MACD fast=16, slow=53, signal=11 |
6.2% | -59.8% | 0.40 | 0.10 | 4.9x | 349 | 51% |
| Buy and hold | 16.3% | -71.5% | 0.67 | 0.23 | 55.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 213-day EMA
- Sell — Sell when the 57-day EMA falls below the 213-day EMA