Trend-Following Backtester · Guide · backtest 한국어
equity · DK
DFDS A/S backtest
10 trend-following strategies were compared on the full daily history of DFDS A/S. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.6%, MDD -37.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.1%, drawdown -81.3%).
Sharpe leader (same as main): Supertrend — CAGR 13.1%, MDD -41.4%, Sharpe 0.65, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 7.6%, MDD -37.8%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=2.6 |
13.1% | -41.4% | 0.65 | 0.32 | 26.5x | 177 | 52% |
| EMA 크로스오버 fast=21, slow=52 |
10.0% | -53.3% | 0.53 | 0.19 | 12.5x | 94 | 54% |
| SMA 크로스오버 fast=30, slow=218 |
9.7% | -68.4% | 0.53 | 0.14 | 11.8x | 29 | 56% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=19, mult=1.7 |
7.6% | -37.8% | 0.53 | 0.20 | 6.9x | 192 | 27% |
| Parabolic SAR step=0.005, maxStep=0.16 |
10.0% | -56.2% | 0.52 | 0.18 | 12.7x | 198 | 51% |
| Donchian 채널 돌파 entryN=31, exitN=19 |
8.8% | -44.0% | 0.51 | 0.20 | 9.5x | 124 | 45% |
| ADX / DI 방향성 period=39, threshold=31 |
2.5% | -14.3% | 0.50 | 0.18 | 1.9x | 10 | 4% |
| 볼린저 밴드 돌파 n=26, k=1.6 |
7.5% | -39.4% | 0.47 | 0.19 | 6.7x | 226 | 37% |
| ROC 모멘텀 n=67, threshold=-0.03 |
6.9% | -71.9% | 0.40 | 0.10 | 5.8x | 242 | 62% |
| MACD fast=13, slow=27, signal=13 |
3.4% | -70.5% | 0.28 | 0.05 | 2.4x | 417 | 50% |
| Buy and hold | 3.1% | -81.3% | 0.28 | 0.04 | 2.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)