Trend-Following Backtester · Guide · backtest 한국어

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HelloFresh SE backtest

10 trend-following strategies were compared on the full daily history of HelloFresh SE. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 18.4%, MDD -30.5%).

Data 2017-11-02 ~ 2026-07-31daily bars 2,219 (8.7 years)Costs 0.5%Venue XETRMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR -12.2%, drawdown -96.5%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 30.1%, MDD -41.3%, Sharpe 0.92, 41% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 42.3%p higher than buy and hold, while drawdown improves by 55.1%p (CAGR 18.4%, MDD -30.5%, exposure 19%).

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
ROC 모멘텀
n=128, threshold=0.04
30.1%-41.3%0.920.7310.0x3241%
볼린저 밴드 돌파
n=56, k=3.1
18.4%-30.5%0.800.604.4x1019%
SMA 크로스오버
fast=58, slow=121
22.1%-58.4%0.710.385.7x1645%
Donchian 채널 돌파
entryN=62, exitN=79
20.7%-49.5%0.690.425.2x845%
EMA 크로스오버
fast=53, slow=125
19.8%-52.1%0.690.384.9x840%
Keltner 채널 돌파
emaPeriod=39, atrPeriod=20, mult=1.7
14.5%-47.0%0.590.313.3x4835%
Supertrend
period=27, mult=2.9
15.9%-66.2%0.580.243.6x5645%
ADX / DI 방향성
period=29, threshold=15
10.6%-51.6%0.480.202.4x3829%
Parabolic SAR
step=0.015, maxStep=0.36
-15.0%-92.5%-0.18-0.160.2x16248%
MACD
fast=12, slow=28, signal=6
-14.4%-90.3%-0.19-0.160.3x18550%
Buy and hold-12.2%-96.5%0.08-0.130.3x1100%
1x 10x 2018 2020 2022 2024 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -48% -72% -96% 2018 2020 2022 2024 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -41.3% (2025-02-17 → 2025-10-13), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

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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