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 12.3%, MDD -27.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.7%, drawdown -70.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.8%, MDD -34.3%, Sharpe 0.65, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 12.3%, MDD -27.9%, exposure 43%).
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 |
17.8% | -34.3% | 0.65 | 0.52 | 4.5x | 32 | 59% |
| EMA 크로스오버 fast=13, slow=167 |
15.5% | -35.4% | 0.61 | 0.44 | 3.8x | 12 | 55% |
| Donchian 채널 돌파 entryN=85, exitN=41 |
12.3% | -27.9% | 0.56 | 0.44 | 2.9x | 14 | 43% |
| Supertrend period=28, mult=4.9 |
10.4% | -45.5% | 0.47 | 0.23 | 2.5x | 22 | 55% |
| SMA 크로스오버 fast=58, slow=101 |
8.6% | -55.4% | 0.42 | 0.15 | 2.1x | 17 | 51% |
| ADX / DI 방향성 period=17, threshold=28 |
5.4% | -27.9% | 0.38 | 0.20 | 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 | 21% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-5.2% | -58.7% | -0.01 | -0.09 | 0.6x | 172 | 51% |
| MACD fast=19, slow=44, signal=19 |
-6.5% | -60.3% | -0.08 | -0.11 | 0.5x | 109 | 51% |
| Buy and hold | 10.7% | -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