Trend-Following Backtester · Guide · backtest 한국어

equity · NL

Avantium N.V. backtest

10 trend-following strategies were compared on the full daily history of Avantium N.V.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.8%, MDD -29.7%).

Data 2017-03-15 ~ 2026-07-31daily bars 2,399 (9.4 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -24.9%, drawdown -93.7%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.9%, MDD -56.1%, Sharpe 0.48, 25% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 36.9%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 5.8%, MDD -29.7%, exposure 11%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=22, k=1.6
11.9%-56.1%0.480.212.9x6825%
Keltner 채널 돌파
emaPeriod=18, atrPeriod=15, mult=2.2
7.3%-37.4%0.370.191.9x3615%
MACD
fast=16, slow=41, signal=13
7.2%-69.5%0.360.101.9x9451%
Donchian 채널 돌파
entryN=73, exitN=14
5.8%-29.7%0.350.201.7x1611%
Parabolic SAR
step=0.01, maxStep=0.14
5.9%-60.6%0.330.101.7x9641%
ROC 모멘텀
n=12, threshold=0.12
5.8%-41.6%0.330.141.7x829%
ADX / DI 방향성
period=22, threshold=23
5.8%-47.2%0.330.121.7x3619%
Supertrend
period=17, mult=1.9
3.3%-68.0%0.270.051.4x11041%
EMA 크로스오버
fast=11, slow=27
-1.3%-49.0%0.14-0.030.9x6235%
SMA 크로스오버
fast=67, slow=269
0.0%-62.1%0.130.001.0x620%
Buy and hold-24.9%-93.7%-0.25-0.270.1x1100%
0.1 1x 2018 2020 2022 2024 2026 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -47% -70% -94% 2018 2020 2022 2024 2026 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -56.1% (2020-06-03 → 2022-08-12), recovered after 1,811 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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