Trend-Following Backtester · Guide · backtest 한국어
equity · DK
MT Hojgaard Holding A/S Class B backtest
10 trend-following strategies were compared on the full daily history of MT Hojgaard Holding A/S Class B. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.5%, MDD -33.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.5%, drawdown -89.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.4%, MDD -48.1%, Sharpe 0.69, 35% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 14.9%, MDD -45.8%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.9%p higher than buy and hold, while drawdown improves by 41.8%p (CAGR 11.5%, MDD -33.6%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=96, exitN=38 |
14.4% | -48.1% | 0.69 | 0.30 | 35.7x | 38 | 35% |
| EMA 크로스오버 fast=10, slow=81 |
14.9% | -45.8% | 0.65 | 0.33 | 40.5x | 78 | 47% |
| SMA 크로스오버 fast=5, slow=90 |
14.2% | -50.8% | 0.63 | 0.28 | 34.3x | 96 | 47% |
| ROC 모멘텀 n=123, threshold=-0.04 |
14.7% | -48.4% | 0.62 | 0.30 | 38.3x | 134 | 54% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=27, mult=2.7 |
12.1% | -39.5% | 0.61 | 0.31 | 20.9x | 92 | 33% |
| 볼린저 밴드 돌파 n=49, k=1.9 |
11.5% | -33.6% | 0.59 | 0.34 | 18.1x | 98 | 33% |
| Supertrend period=32, mult=4 |
10.5% | -59.4% | 0.51 | 0.18 | 14.2x | 126 | 46% |
| ADX / DI 방향성 period=28, threshold=19 |
7.8% | -44.9% | 0.47 | 0.17 | 7.4x | 120 | 25% |
| Parabolic SAR step=0.005, maxStep=0.16 |
5.8% | -67.1% | 0.35 | 0.09 | 4.4x | 176 | 47% |
| MACD fast=20, slow=100, signal=28 |
2.9% | -83.5% | 0.24 | 0.03 | 2.1x | 185 | 49% |
| Buy and hold | 2.5% | -89.8% | 0.26 | 0.03 | 1.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 96 days
- Sell — Sell when price breaks below the lowest low of the last 38 days