Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Samsonite Group S.A. backtest
10 trend-following strategies were compared on the full daily history of Samsonite Group S.A.. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 48.7%, MDD -51.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 22.6%, drawdown -96.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.2%, MDD -9.8%, Sharpe 0.32, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 48.7%, MDD -51.9%, exposure 68%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 21.3%p lower than buy and hold, while drawdown improves by 87.0%p (CAGR 48.7%, MDD -51.9%, exposure 68%).
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=11, atrPeriod=26, mult=3.8 |
1.2% | -9.8% | 0.32 | 0.12 | 1.3x | 4 | 1% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
1.9% | -17.0% | 0.29 | 0.11 | 1.4x | 14 | 4% |
| MACD fast=15, slow=66, signal=14 |
36.8% | -80.0% | 0.23 | 0.46 | 354.4x | 183 | 59% |
| ROC 모멘텀 n=144, threshold=-0.04 |
48.7% | -51.9% | 0.23 | 0.94 | 1702.8x | 102 | 68% |
| Donchian 채널 돌파 entryN=39, exitN=61 |
40.3% | -78.0% | 0.23 | 0.52 | 570.6x | 38 | 65% |
| EMA 크로스오버 fast=44, slow=168 |
2.4% | -53.2% | 0.23 | 0.05 | 1.6x | 20 | 51% |
| SMA 크로스오버 fast=26, slow=169 |
-0.2% | -58.0% | 0.14 | -0.00 | 1.0x | 34 | 50% |
| Supertrend period=9, mult=2.7 |
-5.2% | -87.6% | 0.01 | -0.06 | 0.4x | 120 | 47% |
| ADX / DI 방향성 period=19, threshold=39 |
-0.6% | -28.7% | -0.09 | -0.02 | 0.9x | 6 | 2% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-13.7% | -93.9% | -0.21 | -0.15 | 0.1x | 347 | 41% |
| Buy and hold | 22.6% | -96.8% | 0.23 | 0.23 | 45.3x | 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 11-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average