Trend-Following Backtester · Guide · backtest 한국어

equity · SE

Thule Group AB backtest

10 trend-following strategies were compared on the full daily history of Thule Group AB. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.5%, MDD -35.6%).

Data 2014-11-26 ~ 2026-07-30daily bars 2,931 (11.7 years)Costs 0.5%Venue OMXSTOMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.3%, drawdown -65.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.5%, MDD -35.6%, Sharpe 0.47, 58% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 30.2%p (CAGR 8.5%, MDD -35.6%, exposure 58%).

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
Donchian 채널 돌파
entryN=51, exitN=55
8.5%-35.6%0.470.242.6x2458%
EMA 크로스오버
fast=15, slow=105
7.7%-33.3%0.440.232.4x3260%
SMA 크로스오버
fast=24, slow=211
6.1%-47.7%0.380.132.0x1261%
ROC 모멘텀
n=125, threshold=-0.01
5.2%-45.0%0.340.121.8x6162%
볼린저 밴드 돌파
n=55, k=2.3
4.1%-35.9%0.330.111.6x3433%
MACD
fast=23, slow=29, signal=19
3.5%-51.3%0.260.071.5x12149%
Supertrend
period=26, mult=2.1
2.7%-61.5%0.230.041.4x12357%
Parabolic SAR
step=0.005, maxStep=0.1
2.0%-61.2%0.200.031.3x9559%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=21, mult=2.4
0.9%-43.3%0.140.021.1x4841%
ADX / DI 방향성
period=26, threshold=20
-0.1%-26.9%0.06-0.001.0x4222%
Buy and hold9.3%-65.8%0.430.142.8x1100%
1x 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -33% -49% -66% 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -35.6% (2023-08-10 → 2025-09-04), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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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