Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Wihlborgs Fastigheter AB backtest
10 trend-following strategies were compared on the full daily history of Wihlborgs Fastigheter AB. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -60.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.3%, MDD -61.8%, Sharpe 0.51, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.12 |
11.3% | -61.8% | 0.51 | 0.18 | 13.2x | 23 | 99% |
| SMA 크로스오버 fast=43, slow=215 |
9.3% | -48.6% | 0.51 | 0.19 | 8.5x | 28 | 69% |
| ADX / DI 방향성 period=37, threshold=38 |
1.0% | -4.7% | 0.45 | 0.21 | 1.3x | 2 | 2% |
| EMA 크로스오버 fast=54, slow=200 |
7.0% | -54.8% | 0.42 | 0.13 | 5.2x | 30 | 72% |
| Donchian 채널 돌파 entryN=87, exitN=93 |
4.9% | -62.5% | 0.33 | 0.08 | 3.2x | 34 | 65% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
0.7% | -37.0% | 0.15 | 0.02 | 1.2x | 8 | 5% |
| Supertrend period=37, mult=5 |
0.8% | -62.0% | 0.15 | 0.01 | 1.2x | 78 | 66% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.5% | -60.1% | 0.13 | 0.01 | 1.1x | 203 | 58% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=14, mult=4 |
-0.0% | -55.6% | 0.06 | -0.00 | 1.0x | 54 | 24% |
| MACD fast=17, slow=53, signal=19 |
-2.9% | -68.5% | -0.05 | -0.04 | 0.5x | 297 | 50% |
| Buy and hold | 12.0% | -60.1% | 0.52 | 0.20 | 15.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than -12%
- Sell — Sell when the 4-day return drops to -12% or below