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 5.1%, MDD -57.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.8%, drawdown -74.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.1%, MDD -57.7%, Sharpe 0.36, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 17.2%p (CAGR 5.1%, MDD -57.7%, exposure 54%).
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 |
5.1% | -57.7% | 0.36 | 0.09 | 3.7x | 46 | 54% |
| EMA 크로스오버 fast=25, slow=161 |
4.6% | -54.3% | 0.34 | 0.09 | 3.3x | 52 | 55% |
| Donchian 채널 돌파 entryN=69, exitN=62 |
4.2% | -46.9% | 0.32 | 0.09 | 3.0x | 41 | 51% |
| ROC 모멘텀 n=80, threshold=-0.04 |
1.3% | -70.1% | 0.16 | 0.02 | 1.4x | 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 |
-0.4% | -58.7% | 0.07 | -0.01 | 0.9x | 153 | 56% |
| 볼린저 밴드 돌파 n=58, k=1.5 |
-0.4% | -53.0% | 0.05 | -0.01 | 0.9x | 133 | 41% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=16, mult=3.7 |
0.1% | -30.8% | 0.05 | 0.00 | 1.0x | 47 | 11% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.7% | -67.7% | -0.05 | -0.04 | 0.5x | 219 | 54% |
| MACD fast=16, slow=49, signal=19 |
-3.9% | -75.2% | -0.11 | -0.05 | 0.3x | 303 | 51% |
| Buy and hold | 4.8% | -74.9% | 0.31 | 0.06 | 3.5x | 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