Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Harvia Oyj backtest
10 trend-following strategies were compared on the full daily history of Harvia Oyj. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 33.7%, MDD -26.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 28.6%, drawdown -79.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 46.1%, MDD -34.2%, Sharpe 1.27, 80% exposure.
Return/drawdown alternative: Supertrend — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 33.7%, MDD -26.8%, exposure 55%).
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=9, exitN=35 |
46.1% | -34.2% | 1.27 | 1.35 | 23.8x | 23 | 80% |
| Supertrend period=29, mult=3.1 |
33.7% | -26.8% | 1.13 | 1.26 | 11.3x | 43 | 55% |
| SMA 크로스오버 fast=25, slow=181 |
34.9% | -38.6% | 1.10 | 0.90 | 12.2x | 11 | 67% |
| ROC 모멘텀 n=140, threshold=-0.03 |
33.3% | -43.7% | 1.06 | 0.76 | 11.1x | 25 | 70% |
| ADX / DI 방향성 period=38, threshold=24 |
18.8% | -24.4% | 1.04 | 0.77 | 4.2x | 12 | 20% |
| EMA 크로스오버 fast=65, slow=192 |
31.8% | -51.0% | 1.03 | 0.62 | 10.1x | 5 | 65% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
19.7% | -31.8% | 1.03 | 0.62 | 4.5x | 14 | 28% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=25, mult=4 |
16.8% | -19.9% | 0.98 | 0.84 | 3.7x | 18 | 23% |
| Parabolic SAR step=0.01, maxStep=0.16 |
24.0% | -43.3% | 0.86 | 0.55 | 6.0x | 95 | 54% |
| MACD fast=23, slow=49, signal=16 |
13.0% | -44.3% | 0.57 | 0.29 | 2.8x | 79 | 50% |
| Buy and hold | 28.6% | -79.8% | 0.83 | 0.36 | 8.2x | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 35 days