Trend-Following Backtester · Guide · backtest 한국어

equity · DK

Matas A/S backtest

10 trend-following strategies were compared on the full daily history of Matas A/S. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -12.6%).

Data 2013-06-28 ~ 2026-07-31daily bars 3,269 (13.1 years)Costs 0.5%Venue OMXCOPMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -2.1%, drawdown -77.6%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.4%, MDD -55.9%, Sharpe 0.22, 59% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR -0.1%, MDD -12.6%, exposure 2%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=38, exitN=53
2.4%-55.9%0.220.041.4x3459%
ROC 모멘텀
n=122, threshold=-0.02
2.3%-53.6%0.210.041.3x7450%
볼린저 밴드 돌파
n=41, k=3
1.7%-29.2%0.190.061.2x3018%
EMA 크로스오버
fast=21, slow=211
1.5%-58.1%0.170.031.2x1844%
Parabolic SAR
step=0.025, maxStep=0.12
1.1%-53.2%0.160.021.2x26547%
SMA 크로스오버
fast=43, slow=270
1.2%-50.4%0.160.021.2x1242%
MACD
fast=11, slow=22, signal=7
1.1%-52.6%0.160.021.1x24750%
ADX / DI 방향성
period=34, threshold=28
-0.1%-12.6%0.00-0.011.0x62%
Supertrend
period=25, mult=3.9
-2.1%-57.1%-0.01-0.040.8x6248%
Keltner 채널 돌파
emaPeriod=51, atrPeriod=29, mult=1.9
-2.0%-47.0%-0.04-0.040.8x7635%
Buy and hold-2.1%-77.6%0.07-0.030.8x1100%
1x 2014 2016 2018 2020 2022 2024 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -39% -58% -78% 2014 2016 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -55.9% (2014-02-14 → 2018-08-23), recovered after 2,660 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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