Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Royal KPN NV backtest
10 trend-following strategies were compared on the full daily history of Royal KPN NV. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.3%, MDD -50.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.3%, drawdown -97.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.3%, MDD -50.0%, Sharpe 0.33, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 47.0%p (CAGR 6.3%, MDD -50.0%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=137 |
6.3% | -50.0% | 0.33 | 0.13 | 6.7x | 48 | 60% |
| SMA 크로스오버 fast=57, slow=73 |
5.5% | -51.4% | 0.31 | 0.11 | 5.4x | 136 | 53% |
| Donchian 채널 돌파 entryN=55, exitN=89 |
5.4% | -61.6% | 0.31 | 0.09 | 5.3x | 50 | 61% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
3.1% | -60.3% | 0.26 | 0.05 | 2.6x | 158 | 40% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=2.4 |
2.0% | -60.3% | 0.21 | 0.03 | 1.9x | 120 | 33% |
| ROC 모멘텀 n=68, threshold=0.04 |
1.7% | -64.3% | 0.18 | 0.03 | 1.7x | 346 | 40% |
| Supertrend period=13, mult=4.2 |
-0.4% | -86.0% | 0.11 | -0.00 | 0.9x | 126 | 53% |
| ADX / DI 방향성 period=24, threshold=21 |
-1.7% | -60.3% | 0.01 | -0.03 | 0.6x | 132 | 17% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.3% | -93.5% | 0.00 | -0.03 | 0.4x | 254 | 52% |
| MACD fast=19, slow=51, signal=19 |
-6.9% | -98.2% | -0.07 | -0.07 | 0.1x | 332 | 51% |
| Buy and hold | -0.3% | -97.0% | 0.18 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 137-day EMA
- Sell — Sell when the 58-day EMA falls below the 137-day EMA