Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Heineken NV backtest
10 trend-following strategies were compared on the full daily history of Heineken NV. 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 5.1%, drawdown -64.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.6%, MDD -63.7%, Sharpe 0.29, 55% 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=102, exitN=78 |
3.6% | -63.7% | 0.29 | 0.06 | 3.1x | 43 | 55% |
| SMA 크로스오버 fast=63, slow=115 |
3.4% | -67.2% | 0.27 | 0.05 | 2.9x | 73 | 58% |
| EMA 크로스오버 fast=74, slow=235 |
2.9% | -56.4% | 0.24 | 0.05 | 2.4x | 31 | 59% |
| ROC 모멘텀 n=145, threshold=-0.06 |
1.9% | -64.6% | 0.19 | 0.03 | 1.8x | 167 | 72% |
| 볼린저 밴드 돌파 n=41, k=3.4 |
0.7% | -20.9% | 0.17 | 0.03 | 1.3x | 26 | 8% |
| ADX / DI 방향성 period=35, threshold=29 |
0.4% | -13.8% | 0.12 | 0.03 | 1.1x | 10 | 3% |
| Supertrend period=12, mult=4.6 |
-0.4% | -61.4% | 0.06 | -0.01 | 0.9x | 114 | 51% |
| Keltner 채널 돌파 emaPeriod=85, atrPeriod=13, mult=2.2 |
-0.2% | -59.8% | 0.06 | -0.00 | 0.9x | 134 | 42% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.3% | -79.8% | -0.16 | -0.05 | 0.2x | 288 | 52% |
| MACD fast=19, slow=42, signal=11 |
-6.3% | -92.4% | -0.30 | -0.07 | 0.1x | 462 | 51% |
| Buy and hold | 5.1% | -64.8% | 0.32 | 0.08 | 4.8x | 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 102 days
- Sell — Sell when price breaks below the lowest low of the last 78 days