Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Aalberts N.V. backtest
10 trend-following strategies were compared on the full daily history of Aalberts N.V.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.5%, MDD -36.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.8%, drawdown -84.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -36.6%, Sharpe 0.63, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 47.9%p (CAGR 11.5%, MDD -36.6%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=100, exitN=79 |
11.5% | -36.6% | 0.63 | 0.32 | 21.3x | 31 | 54% |
| ROC 모멘텀 n=151, threshold=0.06 |
9.6% | -45.8% | 0.56 | 0.21 | 13.2x | 143 | 52% |
| EMA 크로스오버 fast=9, slow=235 |
9.7% | -44.6% | 0.54 | 0.22 | 13.4x | 53 | 60% |
| SMA 크로스오버 fast=9, slow=202 |
9.5% | -48.8% | 0.53 | 0.20 | 12.8x | 57 | 60% |
| 볼린저 밴드 돌파 n=57, k=1.2 |
6.9% | -42.9% | 0.44 | 0.16 | 6.5x | 153 | 47% |
| Supertrend period=9, mult=4.7 |
6.5% | -46.3% | 0.41 | 0.14 | 5.8x | 109 | 54% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=20, mult=2.4 |
5.4% | -45.8% | 0.39 | 0.12 | 4.3x | 143 | 40% |
| MACD fast=12, slow=28, signal=15 |
3.3% | -65.1% | 0.26 | 0.05 | 2.5x | 423 | 50% |
| ADX / DI 방향성 period=22, threshold=15 |
2.3% | -63.2% | 0.22 | 0.04 | 1.9x | 299 | 36% |
| Parabolic SAR step=0.01, maxStep=0.34 |
0.9% | -74.7% | 0.15 | 0.01 | 1.3x | 391 | 54% |
| Buy and hold | 6.8% | -84.5% | 0.36 | 0.08 | 6.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 100 days
- Sell — Sell when price breaks below the lowest low of the last 79 days