Trend-Following Backtester · Guide · backtest 한국어

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Randstad NV backtest

10 trend-following strategies were compared on the full daily history of Randstad NV. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.6%, MDD -33.6%).

Data 1995-05-11 ~ 2026-07-30daily bars 8,045 (31.2 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 4.7%, drawdown -92.7%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.6%, MDD -33.6%, Sharpe 0.55, 19% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 10.4%, MDD -63.2%, exposure 53%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 59.1%p (CAGR 6.6%, MDD -33.6%, exposure 19%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=34, atrPeriod=29, mult=3.7
6.6%-33.6%0.550.207.4x7319%
EMA 크로스오버
fast=45, slow=49
10.4%-63.2%0.540.1722.2x8353%
Donchian 채널 돌파
entryN=90, exitN=57
9.2%-70.4%0.510.1315.8x5147%
SMA 크로스오버
fast=25, slow=124
8.8%-65.0%0.480.1414.0x7351%
ROC 모멘텀
n=125, threshold=0.06
7.3%-67.5%0.440.119.1x17744%
볼린저 밴드 돌파
n=52, k=2.1
6.1%-54.7%0.420.116.4x11734%
ADX / DI 방향성
period=41, threshold=23
3.7%-28.4%0.390.133.1x4210%
Supertrend
period=14, mult=3
6.8%-70.4%0.380.107.7x24154%
Parabolic SAR
step=0.01, maxStep=0.12
3.4%-81.3%0.250.042.8x41353%
MACD
fast=14, slow=59, signal=10
0.2%-83.8%0.130.001.1x44951%
Buy and hold4.7%-92.7%0.310.054.3x1100%
1x 10x 1996 2000 2004 2008 2012 2016 2020 2024 EMA 크로스오버Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -23% -46% -70% -93% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdEMA 크로스오버Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -33.6% (1998-07-31 → 2003-09-26), recovered after 2,028 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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