Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Colruyt Group N.V. backtest
10 trend-following strategies were compared on the full daily history of Colruyt Group N.V.. 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 5.1%, MDD -38.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.1%, drawdown -69.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -39.4%, Sharpe 0.51, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 30.4%p (CAGR 5.1%, MDD -38.5%, exposure 48%).
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=73, slow=191 |
7.6% | -39.4% | 0.51 | 0.19 | 7.0x | 33 | 57% |
| Donchian 채널 돌파 entryN=132, exitN=73 |
5.1% | -38.5% | 0.39 | 0.13 | 3.8x | 27 | 48% |
| EMA 크로스오버 fast=55, slow=89 |
5.6% | -43.4% | 0.39 | 0.13 | 4.3x | 41 | 58% |
| ADX / DI 방향성 period=50, threshold=19 |
2.1% | -27.5% | 0.31 | 0.08 | 1.7x | 24 | 11% |
| ROC 모멘텀 n=140, threshold=-0.15 |
4.3% | -49.3% | 0.30 | 0.09 | 3.0x | 87 | 87% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=21, mult=3.4 |
0.7% | -20.5% | 0.15 | 0.04 | 1.2x | 20 | 4% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
0.3% | -43.0% | 0.08 | 0.01 | 1.1x | 18 | 8% |
| Supertrend period=29, mult=4.8 |
-1.6% | -70.4% | 0.02 | -0.02 | 0.7x | 77 | 57% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.7% | -80.9% | -0.16 | -0.06 | 0.3x | 213 | 55% |
| MACD fast=16, slow=56, signal=14 |
-8.6% | -92.9% | -0.42 | -0.09 | 0.1x | 345 | 52% |
| Buy and hold | 5.1% | -69.8% | 0.32 | 0.07 | 3.8x | 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 73-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 73-day average falls below the 191-day average