Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Cementir Holding N.V. backtest
10 trend-following strategies were compared on the full daily history of Cementir Holding N.V.. 6 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 11.7%, MDD -41.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.9%, drawdown -89.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -41.6%, Sharpe 0.61, 42% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 11.7%, MDD -41.6%, exposure 42%).
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=46, exitN=21 |
11.7% | -41.6% | 0.61 | 0.28 | 102.2x | 144 | 42% |
| Supertrend period=14, mult=3.7 |
10.9% | -59.2% | 0.54 | 0.18 | 74.3x | 247 | 55% |
| 볼린저 밴드 돌파 n=58, k=2.1 |
8.6% | -50.5% | 0.51 | 0.17 | 31.3x | 148 | 35% |
| EMA 크로스오버 fast=20, slow=44 |
9.8% | -53.8% | 0.50 | 0.18 | 48.7x | 180 | 54% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=16, mult=1.7 |
7.9% | -54.1% | 0.46 | 0.15 | 23.7x | 278 | 39% |
| SMA 크로스오버 fast=13, slow=85 |
8.2% | -60.3% | 0.44 | 0.14 | 26.8x | 168 | 54% |
| ROC 모멘텀 n=98, threshold=-0.02 |
7.0% | -70.0% | 0.39 | 0.10 | 16.6x | 364 | 58% |
| ADX / DI 방향성 period=34, threshold=32 |
2.2% | -24.1% | 0.33 | 0.09 | 2.5x | 14 | 3% |
| Parabolic SAR step=0.015, maxStep=0.32 |
4.0% | -72.7% | 0.28 | 0.05 | 5.1x | 708 | 51% |
| MACD fast=15, slow=24, signal=18 |
2.6% | -65.8% | 0.22 | 0.04 | 2.9x | 568 | 50% |
| Buy and hold | 7.9% | -89.3% | 0.39 | 0.09 | 23.6x | 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 46 days
- Sell — Sell when price breaks below the lowest low of the last 21 days