Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Koninklijke Ahold Delhaize N.V. backtest
10 trend-following strategies were compared on the full daily history of Koninklijke Ahold Delhaize N.V.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.4%, drawdown -35.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.4%, MDD -31.6%, Sharpe 0.36, 94% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=141, threshold=-0.15 |
5.4% | -31.6% | 0.36 | 0.17 | 2.5x | 31 | 94% |
| Donchian 채널 돌파 entryN=9, exitN=110 |
4.3% | -31.2% | 0.31 | 0.14 | 2.1x | 44 | 91% |
| Supertrend period=32, mult=4.3 |
2.6% | -38.5% | 0.24 | 0.07 | 1.6x | 70 | 59% |
| EMA 크로스오버 fast=59, slow=169 |
2.1% | -31.5% | 0.21 | 0.07 | 1.5x | 26 | 65% |
| SMA 크로스오버 fast=45, slow=162 |
1.9% | -35.7% | 0.20 | 0.05 | 1.4x | 36 | 58% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=20, mult=3.6 |
0.6% | -13.9% | 0.17 | 0.05 | 1.1x | 18 | 6% |
| 볼린저 밴드 돌파 n=44, k=2.4 |
-0.8% | -25.9% | -0.03 | -0.03 | 0.9x | 68 | 28% |
| ADX / DI 방향성 period=28, threshold=26 |
-0.4% | -14.9% | -0.08 | -0.03 | 0.9x | 16 | 5% |
| MACD fast=14, slow=55, signal=19 |
-2.9% | -58.8% | -0.13 | -0.05 | 0.6x | 204 | 48% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-4.1% | -62.6% | -0.20 | -0.07 | 0.5x | 172 | 53% |
| Buy and hold | 7.4% | -35.3% | 0.44 | 0.21 | 3.6x | 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 141-day return is greater than -15%
- Sell — Sell when the 141-day return drops to -15% or below