Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Koninklijke Heijmans N.V. backtest
10 trend-following strategies were compared on the full daily history of Koninklijke Heijmans N.V.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.0%, MDD -57.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.6%, drawdown -96.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.5%, MDD -59.2%, Sharpe 0.50, 35% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.0%, MDD -57.8%, exposure 59%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 10.0%, MDD -57.8%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=87, atrPeriod=29, mult=4 |
8.5% | -59.2% | 0.50 | 0.14 | 9.7x | 66 | 35% |
| Donchian 채널 돌파 entryN=60, exitN=75 |
10.0% | -57.8% | 0.50 | 0.17 | 14.3x | 47 | 59% |
| ROC 모멘텀 n=102, threshold=-0.01 |
9.9% | -60.7% | 0.50 | 0.16 | 14.2x | 229 | 58% |
| EMA 크로스오버 fast=46, slow=149 |
7.6% | -72.4% | 0.42 | 0.10 | 7.8x | 41 | 54% |
| SMA 크로스오버 fast=38, slow=166 |
7.2% | -74.9% | 0.40 | 0.10 | 7.0x | 47 | 55% |
| 볼린저 밴드 돌파 n=25, k=1.1 |
6.4% | -67.0% | 0.36 | 0.10 | 5.8x | 338 | 42% |
| MACD fast=18, slow=59, signal=19 |
5.6% | -74.8% | 0.33 | 0.07 | 4.6x | 280 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
4.7% | -67.6% | 0.30 | 0.07 | 3.7x | 460 | 51% |
| Supertrend period=9, mult=4.9 |
4.4% | -70.8% | 0.29 | 0.06 | 3.3x | 100 | 56% |
| ADX / DI 방향성 period=20, threshold=16 |
3.7% | -74.1% | 0.26 | 0.05 | 2.8x | 292 | 38% |
| Buy and hold | 0.6% | -96.7% | 0.21 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 87-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 87-day average