Trend-Following Backtester · Guide · backtest 한국어
equity · DK
FLSmidth & Co. A/S backtest
10 trend-following strategies were compared on the full daily history of FLSmidth & Co. A/S. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.1%, MDD -42.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.5%, drawdown -80.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.1%, MDD -63.6%, Sharpe 0.49, 35% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 16.5%p (CAGR 5.1%, MDD -42.8%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=16, mult=1.7 |
8.1% | -63.6% | 0.49 | 0.13 | 7.9x | 179 | 35% |
| 볼린저 밴드 돌파 n=40, k=1.8 |
7.7% | -45.0% | 0.48 | 0.17 | 7.2x | 131 | 35% |
| MACD fast=18, slow=45, signal=14 |
8.1% | -67.6% | 0.43 | 0.12 | 7.9x | 303 | 52% |
| Donchian 채널 돌파 entryN=64, exitN=9 |
5.1% | -42.8% | 0.39 | 0.12 | 3.7x | 111 | 24% |
| Supertrend period=18, mult=3.7 |
6.3% | -74.1% | 0.37 | 0.08 | 5.1x | 139 | 51% |
| SMA 크로스오버 fast=43, slow=194 |
5.5% | -71.2% | 0.34 | 0.08 | 4.1x | 43 | 54% |
| ROC 모멘텀 n=101, threshold=0 |
5.2% | -68.4% | 0.33 | 0.08 | 3.9x | 227 | 56% |
| EMA 크로스오버 fast=17, slow=153 |
5.0% | -77.2% | 0.32 | 0.06 | 3.7x | 81 | 52% |
| Parabolic SAR step=0.01, maxStep=0.04 |
3.9% | -67.7% | 0.28 | 0.06 | 2.7x | 243 | 54% |
| ADX / DI 방향성 period=26, threshold=24 |
2.0% | -34.6% | 0.24 | 0.06 | 1.7x | 60 | 13% |
| Buy and hold | 4.5% | -80.2% | 0.31 | 0.06 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 27-day average + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 27-day average