Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Koninklijke Philips N.V. backtest
10 trend-following strategies were compared on the full daily history of Koninklijke Philips N.V.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.8%, MDD -47.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.8%, drawdown -80.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -48.6%, Sharpe 0.38, 55% exposure.
CAGR reference leader: Supertrend — CAGR 7.7%, MDD -72.8%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 32.2%p (CAGR 6.8%, MDD -47.1%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=34, slow=193 |
6.6% | -48.6% | 0.38 | 0.14 | 7.4x | 50 | 55% |
| Donchian 채널 돌파 entryN=115, exitN=76 |
5.1% | -37.9% | 0.33 | 0.13 | 4.7x | 38 | 48% |
| EMA 크로스오버 fast=13, slow=159 |
4.9% | -52.3% | 0.32 | 0.09 | 4.5x | 92 | 56% |
| Supertrend period=13, mult=4.7 |
7.7% | -72.8% | 0.26 | 0.11 | 10.1x | 111 | 54% |
| ROC 모멘텀 n=125, threshold=-0.02 |
2.9% | -62.3% | 0.24 | 0.05 | 2.5x | 258 | 59% |
| 볼린저 밴드 돌파 n=54, k=3.2 |
6.8% | -47.1% | 0.23 | 0.15 | 7.9x | 34 | 14% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=22, mult=3 |
5.0% | -70.5% | 0.20 | 0.07 | 4.7x | 112 | 33% |
| ADX / DI 방향성 period=34, threshold=27 |
5.4% | -27.2% | 0.20 | 0.20 | 5.2x | 20 | 5% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-2.4% | -97.7% | 0.10 | -0.02 | 0.5x | 286 | 54% |
| MACD fast=22, slow=55, signal=18 |
-3.1% | -98.0% | 0.08 | -0.03 | 0.4x | 356 | 51% |
| Buy and hold | 8.8% | -80.9% | 0.31 | 0.11 | 13.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 34-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 34-day average falls below the 193-day average