Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Hiab Oyj Class B backtest
10 trend-following strategies were compared on the full daily history of Hiab Oyj Class B. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.4%, MDD -49.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.4%, drawdown -86.9%).
Sharpe leader (same as main): Supertrend — CAGR 9.3%, MDD -59.1%, Sharpe 0.46, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 6.4%, MDD -49.9%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=4.9 |
9.3% | -59.1% | 0.46 | 0.16 | 6.6x | 67 | 54% |
| Donchian 채널 돌파 entryN=77, exitN=52 |
7.9% | -55.1% | 0.43 | 0.14 | 5.1x | 41 | 46% |
| 볼린저 밴드 돌파 n=100, k=1.2 |
7.4% | -54.9% | 0.42 | 0.14 | 4.6x | 61 | 43% |
| SMA 크로스오버 fast=22, slow=81 |
7.8% | -62.8% | 0.41 | 0.12 | 5.0x | 63 | 55% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=14, mult=2.7 |
6.4% | -49.9% | 0.39 | 0.13 | 3.7x | 73 | 40% |
| ROC 모멘텀 n=14, threshold=-0.1 |
6.2% | -81.4% | 0.35 | 0.08 | 3.6x | 231 | 88% |
| EMA 크로스오버 fast=31, slow=44 |
6.0% | -52.9% | 0.35 | 0.11 | 3.4x | 89 | 54% |
| ADX / DI 방향성 period=28, threshold=14 |
5.1% | -55.6% | 0.33 | 0.09 | 2.9x | 173 | 42% |
| MACD fast=22, slow=56, signal=19 |
2.0% | -76.2% | 0.21 | 0.03 | 1.5x | 197 | 51% |
| Parabolic SAR step=0.015, maxStep=0.24 |
1.1% | -70.2% | 0.18 | 0.02 | 1.3x | 367 | 53% |
| Buy and hold | 4.4% | -86.9% | 0.31 | 0.05 | 2.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)