Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Akzo Nobel N.V. backtest
10 trend-following strategies were compared on the full daily history of Akzo Nobel N.V.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.4%, drawdown -71.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.3%, MDD -61.7%, Sharpe 0.21, 82% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=7, exitN=36 |
2.3% | -61.7% | 0.21 | 0.04 | 2.1x | 173 | 82% |
| ROC 모멘텀 n=128, threshold=-0.03 |
1.5% | -55.6% | 0.17 | 0.03 | 1.6x | 241 | 64% |
| Supertrend period=10, mult=4.9 |
0.9% | -62.7% | 0.14 | 0.01 | 1.3x | 110 | 50% |
| EMA 크로스오버 fast=73, slow=245 |
0.7% | -55.7% | 0.13 | 0.01 | 1.3x | 41 | 60% |
| SMA 크로스오버 fast=48, slow=157 |
0.6% | -57.3% | 0.12 | 0.01 | 1.2x | 75 | 57% |
| 볼린저 밴드 돌파 n=40, k=2.8 |
0.4% | -46.8% | 0.09 | 0.01 | 1.1x | 60 | 15% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=10, mult=3.4 |
-0.0% | -41.2% | 0.05 | -0.00 | 1.0x | 78 | 16% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-1.9% | -72.9% | 0.00 | -0.03 | 0.6x | 433 | 55% |
| MACD fast=15, slow=30, signal=19 |
-2.4% | -75.6% | -0.02 | -0.03 | 0.5x | 401 | 50% |
| ADX / DI 방향성 period=32, threshold=32 |
-0.1% | -3.0% | -0.11 | -0.02 | 1.0x | 2 | 0% |
| Buy and hold | 3.4% | -71.6% | 0.26 | 0.05 | 2.8x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 36 days