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 18.2%, MDD -30.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -14.2%, drawdown -97.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 29.8%, MDD -41.3%, Sharpe 0.91, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 44.0%p higher than buy and hold, while drawdown improves by 55.8%p (CAGR 18.2%, MDD -30.5%, exposure 18%).
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 |
29.8% | -41.3% | 0.91 | 0.72 | 10.0x | 32 | 41% |
| 볼린저 밴드 돌파 n=56, k=3.1 |
18.2% | -30.5% | 0.80 | 0.59 | 4.4x | 10 | 18% |
| SMA 크로스오버 fast=58, slow=121 |
21.8% | -58.4% | 0.71 | 0.37 | 5.7x | 16 | 45% |
| Donchian 채널 돌파 entryN=62, exitN=79 |
20.4% | -49.5% | 0.69 | 0.41 | 5.2x | 8 | 44% |
| EMA 크로스오버 fast=53, slow=125 |
19.6% | -52.1% | 0.68 | 0.38 | 4.9x | 8 | 39% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=20, mult=1.7 |
14.3% | -47.0% | 0.58 | 0.31 | 3.3x | 48 | 35% |
| Supertrend period=27, mult=2.9 |
15.8% | -66.2% | 0.58 | 0.24 | 3.6x | 56 | 44% |
| ADX / DI 방향성 period=29, threshold=15 |
10.5% | -51.6% | 0.48 | 0.20 | 2.4x | 38 | 29% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-14.8% | -92.5% | -0.18 | -0.16 | 0.2x | 162 | 47% |
| MACD fast=12, slow=28, signal=6 |
-15.2% | -91.2% | -0.21 | -0.17 | 0.2x | 188 | 50% |
| Buy and hold | -14.2% | -97.1% | 0.04 | -0.15 | 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