Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Huhtamaki Oyj backtest
10 trend-following strategies were compared on the full daily history of Huhtamaki Oyj. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.2%, MDD -57.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.9%, drawdown -74.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.2%, MDD -57.9%, Sharpe 0.37, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 17.1%p (CAGR 5.2%, MDD -57.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=14, slow=243 |
5.2% | -57.9% | 0.37 | 0.09 | 3.8x | 47 | 55% |
| EMA 크로스오버 fast=25, slow=161 |
4.7% | -54.4% | 0.34 | 0.09 | 3.4x | 53 | 55% |
| Donchian 채널 돌파 entryN=69, exitN=62 |
4.3% | -46.9% | 0.33 | 0.09 | 3.1x | 41 | 52% |
| ROC 모멘텀 n=80, threshold=-0.04 |
1.4% | -70.1% | 0.17 | 0.02 | 1.5x | 279 | 65% |
| ADX / DI 방향성 period=35, threshold=34 |
0.1% | -5.5% | 0.09 | 0.02 | 1.0x | 2 | 0% |
| Supertrend period=10, mult=3.3 |
-0.3% | -58.7% | 0.08 | -0.00 | 0.9x | 153 | 56% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=16, mult=3.7 |
0.2% | -30.8% | 0.06 | 0.01 | 1.1x | 47 | 11% |
| 볼린저 밴드 돌파 n=58, k=1.5 |
-0.3% | -53.0% | 0.06 | -0.01 | 0.9x | 133 | 41% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.6% | -67.7% | -0.04 | -0.04 | 0.5x | 219 | 55% |
| MACD fast=16, slow=49, signal=19 |
-3.7% | -75.2% | -0.10 | -0.05 | 0.4x | 303 | 52% |
| Buy and hold | 4.9% | -74.9% | 0.31 | 0.07 | 3.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 14-day average price crosses above the 243-day average
- Sell — Sell (to cash) when the 14-day average falls below the 243-day average