Trend-Following Backtester · Guide · backtest 한국어
equity · NL
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 7.0%, MDD -33.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.1%, drawdown -92.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.0%, MDD -33.6%, Sharpe 0.57, 19% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 10.8%, 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 7.0%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=29, mult=3.7 |
7.0% | -33.6% | 0.57 | 0.21 | 8.2x | 73 | 19% |
| EMA 크로스오버 fast=45, slow=49 |
10.8% | -63.2% | 0.55 | 0.17 | 24.6x | 83 | 53% |
| Donchian 채널 돌파 entryN=90, exitN=57 |
9.6% | -70.4% | 0.53 | 0.14 | 17.5x | 51 | 47% |
| SMA 크로스오버 fast=25, slow=124 |
9.2% | -65.0% | 0.49 | 0.14 | 15.5x | 73 | 51% |
| ROC 모멘텀 n=125, threshold=0.06 |
7.7% | -67.5% | 0.45 | 0.11 | 10.1x | 177 | 44% |
| 볼린저 밴드 돌파 n=52, k=2.1 |
6.5% | -54.7% | 0.44 | 0.12 | 7.1x | 117 | 34% |
| ADX / DI 방향성 period=41, threshold=23 |
3.8% | -28.4% | 0.40 | 0.13 | 3.2x | 43 | 10% |
| Supertrend period=14, mult=3 |
7.1% | -70.4% | 0.39 | 0.10 | 8.5x | 241 | 54% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.7% | -81.3% | 0.27 | 0.05 | 3.1x | 413 | 53% |
| MACD fast=14, slow=59, signal=10 |
0.4% | -83.8% | 0.14 | 0.00 | 1.1x | 450 | 51% |
| Buy and hold | 5.1% | -92.7% | 0.32 | 0.05 | 4.7x | 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 34-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 34-day average