Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Hiab Oyj Class B backtest
10 trend-following strategies were compared on the full daily history of Hiab Oyj Class B. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.1%, MDD -49.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.1%, drawdown -86.9%).
Sharpe leader (same as main): Supertrend — CAGR 9.0%, MDD -59.1%, Sharpe 0.45, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 6.1%, MDD -49.9%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=4.9 |
9.0% | -59.1% | 0.45 | 0.15 | 6.2x | 67 | 54% |
| Donchian 채널 돌파 entryN=77, exitN=52 |
7.6% | -55.1% | 0.42 | 0.14 | 4.7x | 41 | 46% |
| 볼린저 밴드 돌파 n=100, k=1.2 |
7.1% | -54.9% | 0.41 | 0.13 | 4.3x | 61 | 43% |
| SMA 크로스오버 fast=22, slow=81 |
7.5% | -62.8% | 0.40 | 0.12 | 4.6x | 63 | 55% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=14, mult=2.7 |
6.1% | -49.9% | 0.37 | 0.12 | 3.5x | 73 | 39% |
| ROC 모멘텀 n=14, threshold=-0.1 |
5.9% | -81.4% | 0.34 | 0.07 | 3.4x | 231 | 88% |
| EMA 크로스오버 fast=31, slow=44 |
5.7% | -52.9% | 0.34 | 0.11 | 3.2x | 89 | 54% |
| ADX / DI 방향성 period=28, threshold=14 |
4.8% | -55.6% | 0.32 | 0.09 | 2.7x | 173 | 42% |
| MACD fast=22, slow=56, signal=19 |
1.7% | -76.2% | 0.20 | 0.02 | 1.4x | 197 | 51% |
| Parabolic SAR step=0.015, maxStep=0.24 |
0.8% | -70.2% | 0.17 | 0.01 | 1.2x | 367 | 52% |
| Buy and hold | 4.1% | -86.9% | 0.31 | 0.05 | 2.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)