Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Veolia Environnement SA backtest
10 trend-following strategies were compared on the full daily history of Veolia Environnement SA. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.5%, MDD -28.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.3%, drawdown -88.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -30.3%, Sharpe 0.45, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 58.5%p (CAGR 1.5%, MDD -28.5%, exposure 14%).
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=54, exitN=39 |
6.6% | -30.3% | 0.45 | 0.22 | 5.2x | 53 | 50% |
| Supertrend period=9, mult=5 |
6.1% | -38.2% | 0.42 | 0.16 | 4.7x | 67 | 50% |
| EMA 크로스오버 fast=9, slow=98 |
5.5% | -40.2% | 0.38 | 0.14 | 4.0x | 81 | 57% |
| SMA 크로스오버 fast=41, slow=213 |
4.9% | -42.5% | 0.35 | 0.12 | 3.5x | 35 | 57% |
| ROC 모멘텀 n=98, threshold=-0.1 |
5.0% | -54.2% | 0.33 | 0.09 | 3.5x | 107 | 77% |
| 볼린저 밴드 돌파 n=17, k=2.5 |
1.5% | -28.5% | 0.22 | 0.05 | 1.5x | 102 | 14% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=17, mult=1.7 |
0.8% | -36.8% | 0.12 | 0.02 | 1.2x | 190 | 26% |
| ADX / DI 방향성 period=39, threshold=16 |
-1.3% | -48.7% | -0.06 | -0.03 | 0.7x | 86 | 20% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-4.5% | -83.4% | -0.13 | -0.05 | 0.3x | 246 | 53% |
| MACD fast=19, slow=25, signal=18 |
-6.6% | -84.8% | -0.22 | -0.08 | 0.2x | 348 | 52% |
| Buy and hold | 0.3% | -88.8% | 0.16 | 0.00 | 1.1x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 39 days