Trend-Following Backtester · Guide · backtest 한국어

equity · FI

Tokmanni Group Oyj backtest

10 trend-following strategies were compared on the full daily history of Tokmanni Group Oyj. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.2%, MDD -18.7%).

Data 2016-04-29 ~ 2026-07-31daily bars 2,577 (10.3 years)Costs 0.5%Venue OMXHEXMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 0.8%, drawdown -76.6%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.2%, MDD -18.7%, Sharpe 0.73, 24% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 57.9%p (CAGR 10.2%, MDD -18.7%, exposure 24%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=43, atrPeriod=12, mult=3.7
10.2%-18.7%0.730.552.7x1824%
볼린저 밴드 돌파
n=58, k=2.9
7.9%-19.2%0.680.412.2x1219%
Donchian 채널 돌파
entryN=56, exitN=12
5.8%-29.3%0.460.201.8x4227%
SMA 크로스오버
fast=22, slow=56
6.0%-51.1%0.380.121.8x4748%
ADX / DI 방향성
period=34, threshold=17
4.1%-28.9%0.350.141.5x5224%
ROC 모멘텀
n=42, threshold=-0.01
4.5%-57.4%0.310.081.6x12152%
Supertrend
period=24, mult=4.4
3.0%-50.9%0.250.061.4x4349%
EMA 크로스오버
fast=45, slow=64
1.3%-50.5%0.170.031.1x3049%
MACD
fast=39, slow=54, signal=15
-5.3%-80.8%-0.10-0.070.6x8552%
Parabolic SAR
step=0.015, maxStep=0.12
-10.0%-74.1%-0.33-0.140.3x17552%
Buy and hold0.8%-76.6%0.190.011.1x1100%
1x 2017 2019 2021 2023 2025 Keltner 채널 돌파Buy and hold
Keltner 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -57% -77% 2017 2019 2021 2023 2025 Buy and holdKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -18.7% (2021-07-26 → 2025-01-10), prior peak not yet recovered.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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