Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hansa Investment Company Ltd backtest
10 trend-following strategies were compared on the full daily history of Hansa Investment Company Ltd. 6 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 10.4%, MDD -28.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.6%, drawdown -63.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.4%, MDD -28.6%, Sharpe 0.83, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.5%, MDD -38.2%, exposure 62%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 10.4%, MDD -28.6%, exposure 37%).
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=25, atrPeriod=20, mult=2.3 |
10.4% | -28.6% | 0.83 | 0.36 | 114.7x | 186 | 37% |
| SMA 크로스오버 fast=10, slow=130 |
12.5% | -38.2% | 0.81 | 0.33 | 285.1x | 89 | 62% |
| EMA 크로스오버 fast=7, slow=118 |
12.3% | -34.0% | 0.81 | 0.36 | 263.5x | 111 | 62% |
| Donchian 채널 돌파 entryN=78, exitN=52 |
11.7% | -30.3% | 0.80 | 0.39 | 203.5x | 81 | 54% |
| Parabolic SAR step=0.005, maxStep=0.14 |
11.0% | -53.8% | 0.75 | 0.20 | 150.4x | 281 | 58% |
| 볼린저 밴드 돌파 n=34, k=2.4 |
8.8% | -35.4% | 0.75 | 0.25 | 57.5x | 190 | 36% |
| ADX / DI 방향성 period=32, threshold=14 |
8.6% | -27.8% | 0.67 | 0.31 | 52.5x | 219 | 43% |
| Supertrend period=16, mult=4.4 |
9.6% | -35.8% | 0.66 | 0.27 | 82.2x | 241 | 58% |
| ROC 모멘텀 n=147, threshold=-0.01 |
8.3% | -51.8% | 0.56 | 0.16 | 45.5x | 203 | 65% |
| MACD fast=22, slow=57, signal=22 |
6.9% | -53.1% | 0.55 | 0.13 | 25.0x | 376 | 50% |
| Buy and hold | 9.6% | -63.7% | 0.53 | 0.15 | 81.1x | 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 25-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 25-day average