Trend-Following Backtester · Guide · backtest 한국어
equity · NL
ASR Nederland N.V. backtest
10 trend-following strategies were compared on the full daily history of ASR Nederland N.V.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like. The return/drawdown alternative is ROC 모멘텀 (CAGR 16.1%, MDD -36.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.2%, drawdown -56.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.6%, MDD -31.9%, Sharpe 0.77, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 16.1%, MDD -36.5%, exposure 95%).
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 Hold-like · Exposure 96% entryN=1, exitN=42 |
16.6% | -31.9% | 0.77 | 0.52 | 4.7x | 45 | 96% |
| ROC 모멘텀 n=18, threshold=-0.1 |
16.1% | -36.5% | 0.76 | 0.44 | 4.5x | 39 | 95% |
| Supertrend period=21, mult=4.7 |
7.4% | -29.6% | 0.49 | 0.25 | 2.1x | 33 | 68% |
| ADX / DI 방향성 period=33, threshold=20 |
2.4% | -13.1% | 0.42 | 0.19 | 1.3x | 14 | 11% |
| SMA 크로스오버 fast=68, slow=106 |
5.7% | -54.2% | 0.39 | 0.11 | 1.8x | 21 | 68% |
| EMA 크로스오버 fast=57, slow=215 |
3.3% | -47.9% | 0.27 | 0.07 | 1.4x | 15 | 69% |
| Parabolic SAR step=0.035, maxStep=0.1 |
3.0% | -36.0% | 0.26 | 0.08 | 1.3x | 242 | 58% |
| 볼린저 밴드 돌파 n=90, k=0.7 |
2.8% | -45.7% | 0.25 | 0.06 | 1.3x | 55 | 58% |
| MACD fast=10, slow=23, signal=6 |
2.6% | -35.0% | 0.24 | 0.08 | 1.3x | 246 | 52% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=23, mult=2.9 |
0.6% | -4.3% | 0.22 | 0.14 | 1.1x | 6 | 1% |
| Buy and hold | 13.2% | -56.2% | 0.61 | 0.23 | 3.5x | 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 1 days
- Sell — Sell when price breaks below the lowest low of the last 42 days