Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Skjern Bank A/S backtest
10 trend-following strategies were compared on the full daily history of Skjern Bank A/S. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.9%, MDD -30.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.3%, drawdown -95.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.9%, MDD -30.7%, Sharpe 0.85, 33% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.1%, MDD -47.0%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 64.3%p (CAGR 13.9%, MDD -30.7%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=17, mult=2.5 |
13.9% | -30.7% | 0.85 | 0.45 | 21.2x | 71 | 33% |
| Donchian 채널 돌파 entryN=23, exitN=19 |
15.1% | -47.0% | 0.79 | 0.32 | 27.4x | 103 | 55% |
| EMA 크로스오버 fast=18, slow=34 |
14.6% | -48.2% | 0.77 | 0.30 | 24.9x | 101 | 55% |
| 볼린저 밴드 돌파 n=43, k=1.6 |
13.2% | -34.4% | 0.77 | 0.38 | 18.5x | 123 | 42% |
| SMA 크로스오버 fast=16, slow=46 |
14.1% | -49.0% | 0.74 | 0.29 | 22.1x | 109 | 55% |
| Supertrend period=29, mult=3.9 |
14.2% | -58.2% | 0.73 | 0.24 | 22.6x | 75 | 54% |
| ADX / DI 방향성 period=50, threshold=12 |
8.5% | -51.5% | 0.58 | 0.17 | 6.9x | 91 | 32% |
| ROC 모멘텀 n=143, threshold=0.03 |
8.4% | -54.6% | 0.52 | 0.15 | 6.7x | 153 | 52% |
| Parabolic SAR step=0.015, maxStep=0.22 |
6.2% | -68.1% | 0.39 | 0.09 | 4.2x | 327 | 52% |
| MACD fast=19, slow=49, signal=14 |
-1.5% | -86.1% | 0.05 | -0.02 | 0.7x | 277 | 50% |
| Buy and hold | 6.3% | -95.0% | 0.35 | 0.07 | 4.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 40-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 40-day average