Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Munters Group AB backtest
10 trend-following strategies were compared on the full daily history of Munters Group AB. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.1%, MDD -27.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.5%, drawdown -70.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.8%, MDD -34.3%, Sharpe 0.63, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 12.1%, MDD -27.9%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=155, threshold=-0.02 |
16.8% | -34.3% | 0.63 | 0.49 | 4.2x | 38 | 59% |
| EMA 크로스오버 fast=13, slow=167 |
14.2% | -35.4% | 0.57 | 0.40 | 3.4x | 14 | 55% |
| Donchian 채널 돌파 entryN=85, exitN=41 |
12.1% | -27.9% | 0.56 | 0.44 | 2.9x | 14 | 42% |
| Supertrend period=28, mult=4.9 |
10.3% | -45.5% | 0.47 | 0.23 | 2.5x | 22 | 55% |
| SMA 크로스오버 fast=58, slow=101 |
9.2% | -55.4% | 0.44 | 0.17 | 2.3x | 18 | 51% |
| ADX / DI 방향성 period=17, threshold=28 |
5.4% | -27.9% | 0.38 | 0.19 | 1.6x | 26 | 13% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=2.3 |
1.7% | -45.8% | 0.19 | 0.04 | 1.2x | 38 | 37% |
| 볼린저 밴드 돌파 n=59, k=2.8 |
1.0% | -27.5% | 0.14 | 0.04 | 1.1x | 18 | 20% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-6.1% | -61.5% | -0.04 | -0.10 | 0.6x | 174 | 51% |
| MACD fast=19, slow=44, signal=19 |
-6.5% | -60.3% | -0.08 | -0.11 | 0.5x | 110 | 52% |
| Buy and hold | 10.5% | -70.9% | 0.45 | 0.15 | 2.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 155-day return is greater than -2%
- Sell — Sell when the 155-day return drops to -2% or below