Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Klepierre SA backtest
10 trend-following strategies were compared on the full daily history of Klepierre SA. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.9%, MDD -40.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.5%, drawdown -81.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.9%, MDD -40.1%, Sharpe 0.31, 44% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 3.9%, MDD -40.1%, exposure 44%).
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=64, exitN=30 |
3.9% | -40.1% | 0.31 | 0.10 | 3.7x | 103 | 44% |
| ADX / DI 방향성 period=29, threshold=26 |
2.0% | -22.0% | 0.30 | 0.09 | 2.0x | 56 | 11% |
| SMA 크로스오버 fast=31, slow=142 |
3.7% | -56.5% | 0.29 | 0.07 | 3.5x | 73 | 61% |
| 볼린저 밴드 돌파 n=48, k=3.4 |
1.8% | -29.2% | 0.27 | 0.06 | 1.9x | 30 | 9% |
| EMA 크로스오버 fast=28, slow=45 |
2.4% | -55.4% | 0.22 | 0.04 | 2.2x | 141 | 59% |
| ROC 모멘텀 n=108, threshold=-0.04 |
1.1% | -78.9% | 0.15 | 0.01 | 1.4x | 289 | 72% |
| Supertrend period=13, mult=4.4 |
-0.4% | -73.5% | 0.10 | -0.01 | 0.9x | 133 | 55% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=21, mult=4 |
0.2% | -47.9% | 0.06 | 0.00 | 1.1x | 76 | 17% |
| MACD fast=23, slow=52, signal=29 |
-2.1% | -76.4% | 0.03 | -0.03 | 0.5x | 298 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.3% | -93.0% | -0.12 | -0.05 | 0.2x | 530 | 54% |
| Buy and hold | 3.5% | -81.1% | 0.27 | 0.04 | 3.2x | 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 64 days
- Sell — Sell when price breaks below the lowest low of the last 30 days