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Coca-Cola HBC AG backtest

10 trend-following strategies were compared on the full daily history of Coca-Cola HBC AG. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.1%, MDD -25.2%).

Data 2013-04-29 ~ 2026-07-31daily bars 3,351 (13.3 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 8.2%, drawdown -52.5%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.1%, MDD -25.2%, Sharpe 0.64, 72% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 27.3%p (CAGR 11.1%, MDD -25.2%, exposure 72%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=224, threshold=-0.08
11.1%-25.2%0.640.444.0x1972%
볼린저 밴드 돌파
n=48, k=1.4
7.0%-30.4%0.530.232.4x7543%
MACD
fast=30, slow=45, signal=17
7.4%-31.3%0.500.242.6x11152%
Keltner 채널 돌파
emaPeriod=19, atrPeriod=17, mult=3.1
2.9%-11.7%0.480.251.5x2210%
EMA 크로스오버
fast=8, slow=209
6.3%-33.4%0.450.192.3x3562%
Donchian 채널 돌파
entryN=113, exitN=49
5.2%-33.4%0.430.151.9x2143%
SMA 크로스오버
fast=14, slow=132
6.0%-41.2%0.420.152.2x3559%
Supertrend
period=13, mult=5
4.6%-41.4%0.350.111.8x4154%
Parabolic SAR
step=0.005, maxStep=0.28
1.3%-41.6%0.160.031.2x11456%
ADX / DI 방향성
period=29, threshold=34
0.3%-12.2%0.110.031.0x63%
Buy and hold8.2%-52.5%0.430.162.8x1100%
1x 2014 2016 2018 2020 2022 2024 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -13% -26% -39% -52% 2014 2016 2018 2020 2022 2024 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -25.2% (2019-07-03 → 2019-10-28), recovered after 762 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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