Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Corbion NV backtest
10 trend-following strategies were compared on the full daily history of Corbion NV. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.3%, MDD -29.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.8%, drawdown -74.0%).
Sharpe leader (same as main): Supertrend — CAGR 5.4%, MDD -53.8%, Sharpe 0.37, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 20.2%p (CAGR 3.3%, MDD -29.3%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=2.8 |
5.4% | -53.8% | 0.37 | 0.10 | 5.1x | 210 | 53% |
| Donchian 채널 돌파 entryN=44, exitN=24 |
4.5% | -42.4% | 0.35 | 0.11 | 3.9x | 102 | 41% |
| SMA 크로스오버 fast=56, slow=127 |
4.7% | -46.7% | 0.33 | 0.10 | 4.2x | 61 | 52% |
| 볼린저 밴드 돌파 n=34, k=1.7 |
3.3% | -29.3% | 0.28 | 0.11 | 2.8x | 206 | 36% |
| EMA 크로스오버 fast=72, slow=122 |
2.4% | -42.0% | 0.22 | 0.06 | 2.1x | 49 | 55% |
| ADX / DI 방향성 period=37, threshold=32 |
0.6% | -11.9% | 0.18 | 0.05 | 1.2x | 8 | 2% |
| Parabolic SAR step=0.005, maxStep=0.1 |
1.7% | -64.9% | 0.18 | 0.03 | 1.7x | 254 | 52% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=17, mult=1.6 |
1.7% | -45.7% | 0.18 | 0.04 | 1.7x | 180 | 41% |
| MACD fast=18, slow=43, signal=19 |
1.0% | -52.7% | 0.15 | 0.02 | 1.4x | 310 | 51% |
| ROC 모멘텀 n=48, threshold=-0.02 |
-0.2% | -76.9% | 0.08 | -0.00 | 0.9x | 390 | 59% |
| Buy and hold | 0.8% | -74.0% | 0.17 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 2.8× band
- Sell — Sell when price drops below the trend line (flips down)