Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Ackermans & van Haaren NV backtest
10 trend-following strategies were compared on the full daily history of Ackermans & van Haaren NV. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.5%, MDD -33.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.7%, drawdown -66.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -37.8%, Sharpe 0.70, 65% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 10.5%, MDD -33.2%, exposure 73%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=64, slow=106 |
11.1% | -37.8% | 0.70 | 0.29 | 16.4x | 66 | 65% |
| Donchian 채널 돌파 entryN=55, exitN=96 |
10.5% | -33.2% | 0.66 | 0.32 | 14.3x | 32 | 73% |
| EMA 크로스오버 fast=57, slow=100 |
8.9% | -36.4% | 0.58 | 0.24 | 9.7x | 40 | 70% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
2.4% | -16.2% | 0.40 | 0.15 | 1.9x | 22 | 11% |
| ROC 모멘텀 n=88, threshold=0.01 |
3.4% | -49.2% | 0.29 | 0.07 | 2.4x | 311 | 62% |
| Supertrend period=14, mult=4.8 |
2.9% | -39.5% | 0.26 | 0.07 | 2.2x | 99 | 61% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=27, mult=4 |
1.5% | -34.3% | 0.23 | 0.04 | 1.5x | 56 | 18% |
| ADX / DI 방향성 period=37, threshold=38 |
0.3% | -5.5% | 0.19 | 0.06 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.9% | -56.0% | 0.14 | 0.02 | 1.3x | 227 | 59% |
| MACD fast=17, slow=51, signal=15 |
-4.7% | -77.4% | -0.22 | -0.06 | 0.3x | 329 | 50% |
| Buy and hold | 8.7% | -66.5% | 0.46 | 0.13 | 9.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 64-day average price crosses above the 106-day average
- Sell — Sell (to cash) when the 64-day average falls below the 106-day average