Trend-Following Backtester · Guide · backtest 한국어
equity · DE
HelloFresh SE backtest
10 trend-following strategies were compared on the full daily history of HelloFresh SE. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 18.4%, MDD -30.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -12.2%, drawdown -96.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 30.1%, MDD -41.3%, Sharpe 0.92, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 42.3%p higher than buy and hold, while drawdown improves by 55.1%p (CAGR 18.4%, MDD -30.5%, exposure 19%).
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 n=128, threshold=0.04 |
30.1% | -41.3% | 0.92 | 0.73 | 10.0x | 32 | 41% |
| 볼린저 밴드 돌파 n=56, k=3.1 |
18.4% | -30.5% | 0.80 | 0.60 | 4.4x | 10 | 19% |
| SMA 크로스오버 fast=58, slow=121 |
22.1% | -58.4% | 0.71 | 0.38 | 5.7x | 16 | 45% |
| Donchian 채널 돌파 entryN=62, exitN=79 |
20.7% | -49.5% | 0.69 | 0.42 | 5.2x | 8 | 45% |
| EMA 크로스오버 fast=53, slow=125 |
19.8% | -52.1% | 0.69 | 0.38 | 4.9x | 8 | 40% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=20, mult=1.7 |
14.5% | -47.0% | 0.59 | 0.31 | 3.3x | 48 | 35% |
| Supertrend period=27, mult=2.9 |
15.9% | -66.2% | 0.58 | 0.24 | 3.6x | 56 | 45% |
| ADX / DI 방향성 period=29, threshold=15 |
10.6% | -51.6% | 0.48 | 0.20 | 2.4x | 38 | 29% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-15.0% | -92.5% | -0.18 | -0.16 | 0.2x | 162 | 48% |
| MACD fast=12, slow=28, signal=6 |
-14.4% | -90.3% | -0.19 | -0.16 | 0.3x | 185 | 50% |
| Buy and hold | -12.2% | -96.5% | 0.08 | -0.13 | 0.3x | 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 128-day return is greater than 4%
- Sell — Sell when the 128-day return drops to 4% or below