Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Tokmanni Group Oyj backtest
10 trend-following strategies were compared on the full daily history of Tokmanni Group Oyj. 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 10.1%, MDD -18.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.9%, drawdown -76.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.1%, MDD -18.7%, Sharpe 0.73, 24% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.2%p higher than buy and hold, while drawdown improves by 57.9%p (CAGR 10.1%, MDD -18.7%, exposure 24%).
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=43, atrPeriod=12, mult=3.7 |
10.1% | -18.7% | 0.73 | 0.54 | 2.7x | 18 | 24% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
7.9% | -19.2% | 0.68 | 0.41 | 2.2x | 12 | 19% |
| Donchian 채널 돌파 entryN=56, exitN=12 |
5.7% | -29.3% | 0.46 | 0.20 | 1.8x | 42 | 27% |
| ADX / DI 방향성 period=34, threshold=17 |
4.0% | -28.9% | 0.34 | 0.14 | 1.5x | 52 | 24% |
| SMA 크로스오버 fast=22, slow=56 |
5.1% | -53.1% | 0.34 | 0.10 | 1.7x | 48 | 48% |
| ROC 모멘텀 n=42, threshold=-0.01 |
4.1% | -59.6% | 0.29 | 0.07 | 1.5x | 123 | 52% |
| Supertrend period=24, mult=4.4 |
2.1% | -55.1% | 0.21 | 0.04 | 1.2x | 44 | 49% |
| EMA 크로스오버 fast=45, slow=64 |
1.3% | -50.5% | 0.17 | 0.02 | 1.1x | 30 | 49% |
| MACD fast=39, slow=54, signal=15 |
-6.0% | -81.5% | -0.13 | -0.07 | 0.5x | 87 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-10.6% | -76.4% | -0.36 | -0.14 | 0.3x | 177 | 52% |
| Buy and hold | 0.9% | -76.6% | 0.19 | 0.01 | 1.1x | 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 43-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 43-day average