Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Djurslands Bank A/S backtest
10 trend-following strategies were compared on the full daily history of Djurslands Bank A/S. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.4%, MDD -23.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.8%, drawdown -68.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.9%, MDD -26.5%, Sharpe 0.72, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 41.7%p (CAGR 10.4%, MDD -23.5%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=111, exitN=74 |
10.9% | -26.5% | 0.72 | 0.41 | 9.9x | 21 | 58% |
| EMA 크로스오버 fast=42, slow=46 |
10.5% | -34.5% | 0.68 | 0.31 | 9.2x | 53 | 62% |
| Supertrend period=16, mult=4.7 |
10.4% | -23.5% | 0.67 | 0.44 | 8.9x | 45 | 61% |
| SMA 크로스오버 fast=28, slow=125 |
9.7% | -33.0% | 0.66 | 0.30 | 7.9x | 37 | 62% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=12, mult=3 |
6.7% | -21.6% | 0.62 | 0.31 | 4.2x | 63 | 25% |
| 볼린저 밴드 돌파 n=49, k=2.7 |
5.9% | -22.1% | 0.52 | 0.27 | 3.6x | 71 | 32% |
| ADX / DI 방향성 period=28, threshold=14 |
5.5% | -25.8% | 0.47 | 0.21 | 3.3x | 143 | 42% |
| ROC 모멘텀 n=135, threshold=0 |
6.2% | -48.6% | 0.45 | 0.13 | 3.8x | 149 | 63% |
| Parabolic SAR step=0.005, maxStep=0.24 |
5.5% | -62.3% | 0.39 | 0.09 | 3.3x | 133 | 60% |
| MACD fast=16, slow=67, signal=19 |
0.5% | -74.0% | 0.12 | 0.01 | 1.1x | 229 | 50% |
| Buy and hold | 8.8% | -68.2% | 0.47 | 0.13 | 6.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 111 days
- Sell — Sell when price breaks below the lowest low of the last 74 days