Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Sectra AB Class B backtest
10 trend-following strategies were compared on the full daily history of Sectra AB Class B. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -65.0%).
Sharpe leader (same as main): MACD — CAGR 13.9%, MDD -56.8%, Sharpe 0.63, 49% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.1%, MDD -62.6%, exposure 89%.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=31, signal=24 |
13.9% | -56.8% | 0.63 | 0.24 | 17.2x | 212 | 49% |
| SMA 크로스오버 fast=29, slow=52 |
14.4% | -62.9% | 0.62 | 0.23 | 18.7x | 110 | 57% |
| Supertrend period=19, mult=3.3 |
12.9% | -59.0% | 0.60 | 0.22 | 14.1x | 106 | 54% |
| Donchian 채널 돌파 entryN=13, exitN=104 |
15.1% | -62.6% | 0.58 | 0.24 | 21.4x | 43 | 89% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=1.8 |
9.1% | -57.9% | 0.54 | 0.16 | 6.7x | 148 | 34% |
| Parabolic SAR step=0.005, maxStep=0.32 |
11.1% | -52.6% | 0.53 | 0.21 | 10.0x | 172 | 52% |
| 볼린저 밴드 돌파 n=30, k=1.7 |
8.7% | -59.9% | 0.49 | 0.15 | 6.2x | 166 | 40% |
| ADX / DI 방향성 period=35, threshold=9 |
6.8% | -76.5% | 0.39 | 0.09 | 4.2x | 221 | 48% |
| EMA 크로스오버 fast=33, slow=203 |
7.2% | -68.0% | 0.38 | 0.11 | 4.5x | 33 | 63% |
| ROC 모멘텀 n=106, threshold=-0.07 |
6.9% | -72.0% | 0.37 | 0.10 | 4.3x | 163 | 74% |
| Buy and hold | 15.8% | -65.0% | 0.58 | 0.24 | 24.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/31) crosses above its 24-day signal line
- Sell — Sell when the MACD line crosses back below the signal line