Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Mondi plc backtest
10 trend-following strategies were compared on the full daily history of Mondi plc. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.4%, MDD -11.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.5%, drawdown -76.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -40.3%, Sharpe 0.51, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 2.4%, MDD -11.4%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=198 |
8.4% | -40.3% | 0.51 | 0.21 | 4.7x | 22 | 51% |
| EMA 크로스오버 fast=52, slow=140 |
7.6% | -50.6% | 0.47 | 0.15 | 4.0x | 24 | 50% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=15, mult=3.9 |
2.4% | -11.4% | 0.42 | 0.21 | 1.6x | 11 | 4% |
| Donchian 채널 돌파 entryN=118, exitN=70 |
5.4% | -29.1% | 0.39 | 0.19 | 2.7x | 20 | 39% |
| ROC 모멘텀 n=127, threshold=0.09 |
4.4% | -37.9% | 0.33 | 0.11 | 2.3x | 120 | 37% |
| 볼린저 밴드 돌파 n=13, k=2.5 |
2.5% | -32.1% | 0.31 | 0.08 | 1.6x | 59 | 8% |
| ADX / DI 방향성 period=39, threshold=28 |
0.6% | -8.6% | 0.27 | 0.07 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.08 |
0.3% | -71.9% | 0.12 | 0.00 | 1.1x | 165 | 51% |
| Supertrend period=28, mult=4.7 |
-0.5% | -78.8% | 0.08 | -0.01 | 0.9x | 67 | 53% |
| MACD fast=10, slow=21, signal=16 |
-2.4% | -86.1% | 0.01 | -0.03 | 0.6x | 333 | 51% |
| Buy and hold | 2.5% | -76.0% | 0.24 | 0.03 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 49-day average price crosses above the 198-day average
- Sell — Sell (to cash) when the 49-day average falls below the 198-day average