Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Sanoma Oyj backtest
10 trend-following strategies were compared on the full daily history of Sanoma Oyj. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.1%, MDD -27.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.3%, drawdown -86.9%).
Sharpe leader (same as main): Supertrend — CAGR 5.3%, MDD -54.6%, Sharpe 0.36, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 32.2%p (CAGR 1.1%, MDD -27.7%, exposure 4%).
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=25, mult=5 |
5.3% | -54.6% | 0.36 | 0.10 | 4.0x | 59 | 40% |
| EMA 크로스오버 fast=46, slow=213 |
3.5% | -56.1% | 0.27 | 0.06 | 2.5x | 31 | 45% |
| Donchian 채널 돌파 entryN=52, exitN=77 |
3.0% | -63.3% | 0.24 | 0.05 | 2.2x | 45 | 55% |
| SMA 크로스오버 fast=42, slow=71 |
3.0% | -56.3% | 0.24 | 0.05 | 2.2x | 89 | 49% |
| ROC 모멘텀 n=128, threshold=0.19 |
2.4% | -40.8% | 0.24 | 0.06 | 1.9x | 106 | 17% |
| 볼린저 밴드 돌파 n=19, k=3.4 |
1.1% | -27.7% | 0.20 | 0.04 | 1.3x | 24 | 4% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=21, mult=3.2 |
0.6% | -53.7% | 0.11 | 0.01 | 1.2x | 71 | 22% |
| ADX / DI 방향성 period=34, threshold=18 |
0.6% | -58.3% | 0.11 | 0.01 | 1.2x | 64 | 14% |
| MACD fast=35, slow=69, signal=31 |
-1.8% | -64.0% | 0.03 | -0.03 | 0.6x | 175 | 52% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-2.3% | -72.8% | -0.00 | -0.03 | 0.5x | 225 | 49% |
| Buy and hold | -1.3% | -86.9% | 0.12 | -0.02 | 0.7x | 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) — 25-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)