Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Coca-Cola HBC AG backtest
10 trend-following strategies were compared on the full daily history of Coca-Cola HBC AG. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.2%, MDD -25.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.4%, drawdown -52.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.2%, MDD -25.2%, Sharpe 0.60, 72% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 27.3%p (CAGR 10.2%, MDD -25.2%, exposure 72%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=224, threshold=-0.08 |
10.2% | -25.2% | 0.60 | 0.41 | 3.7x | 19 | 72% |
| 볼린저 밴드 돌파 n=48, k=1.4 |
6.4% | -30.4% | 0.50 | 0.21 | 2.3x | 76 | 43% |
| MACD fast=30, slow=45, signal=17 |
7.1% | -31.3% | 0.49 | 0.23 | 2.5x | 112 | 52% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=17, mult=3.1 |
2.9% | -11.7% | 0.47 | 0.25 | 1.5x | 22 | 10% |
| EMA 크로스오버 fast=8, slow=209 |
5.6% | -33.4% | 0.40 | 0.17 | 2.1x | 35 | 62% |
| SMA 크로스오버 fast=14, slow=132 |
5.3% | -41.2% | 0.38 | 0.13 | 2.0x | 35 | 59% |
| Donchian 채널 돌파 entryN=113, exitN=49 |
4.1% | -33.4% | 0.36 | 0.12 | 1.7x | 22 | 43% |
| Supertrend period=13, mult=5 |
3.8% | -41.4% | 0.31 | 0.09 | 1.6x | 42 | 54% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.3% | -41.6% | 0.16 | 0.03 | 1.2x | 114 | 56% |
| ADX / DI 방향성 period=29, threshold=34 |
0.3% | -12.2% | 0.11 | 0.03 | 1.0x | 6 | 3% |
| Buy and hold | 7.4% | -52.5% | 0.40 | 0.14 | 2.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 224-day return is greater than -8%
- Sell — Sell when the 224-day return drops to -8% or below