Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Zealand Pharma A/S backtest
10 trend-following strategies were compared on the full daily history of Zealand Pharma A/S. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.9%, MDD -51.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.2%, drawdown -75.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.0%, MDD -55.3%, Sharpe 0.62, 38% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 20.2%p (CAGR 15.9%, MDD -51.5%, exposure 50%).
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=96, exitN=64 |
16.0% | -55.3% | 0.62 | 0.29 | 10.4x | 16 | 38% |
| SMA 크로스오버 fast=31, slow=192 |
15.9% | -51.5% | 0.60 | 0.31 | 10.3x | 24 | 50% |
| EMA 크로스오버 fast=97, slow=119 |
14.1% | -66.1% | 0.55 | 0.21 | 8.0x | 18 | 49% |
| ROC 모멘텀 n=139, threshold=0.08 |
11.3% | -53.3% | 0.49 | 0.21 | 5.4x | 108 | 43% |
| Supertrend period=12, mult=5 |
11.5% | -58.9% | 0.48 | 0.20 | 5.6x | 45 | 54% |
| 볼린저 밴드 돌파 n=50, k=2.2 |
5.8% | -58.9% | 0.34 | 0.10 | 2.4x | 57 | 33% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=2.9 |
4.7% | -70.2% | 0.30 | 0.07 | 2.1x | 54 | 32% |
| ADX / DI 방향성 period=39, threshold=12 |
2.6% | -83.3% | 0.23 | 0.03 | 1.5x | 116 | 39% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.6% | -80.0% | 0.09 | -0.03 | 0.7x | 184 | 51% |
| MACD fast=15, slow=46, signal=6 |
-3.5% | -63.6% | 0.05 | -0.06 | 0.6x | 286 | 50% |
| Buy and hold | 8.2% | -75.5% | 0.41 | 0.11 | 3.5x | 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 96 days
- Sell — Sell when price breaks below the lowest low of the last 64 days