Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Arcadis NV backtest
10 trend-following strategies were compared on the full daily history of Arcadis NV. 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 11.7%, MDD -34.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.8%, drawdown -73.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -34.0%, Sharpe 0.68, 44% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.1%, MDD -49.7%, exposure 60%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 11.7%, MDD -34.0%, exposure 44%).
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=101, exitN=31 |
11.7% | -34.0% | 0.68 | 0.35 | 22.5x | 51 | 44% |
| SMA 크로스오버 fast=50, slow=102 |
14.1% | -49.7% | 0.66 | 0.28 | 40.6x | 61 | 60% |
| 볼린저 밴드 돌파 n=109, k=1.6 |
11.8% | -43.8% | 0.65 | 0.27 | 22.6x | 63 | 47% |
| EMA 크로스오버 fast=38, slow=55 |
12.0% | -45.5% | 0.60 | 0.26 | 24.2x | 67 | 60% |
| Supertrend period=32, mult=4.5 |
12.5% | -42.4% | 0.60 | 0.29 | 26.8x | 79 | 62% |
| ROC 모멘텀 n=105, threshold=-0.02 |
8.9% | -48.1% | 0.47 | 0.19 | 10.9x | 233 | 63% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=13, mult=4 |
3.7% | -51.5% | 0.34 | 0.07 | 2.8x | 63 | 25% |
| MACD fast=31, slow=97, signal=47 |
3.1% | -60.8% | 0.24 | 0.05 | 2.4x | 149 | 53% |
| ADX / DI 방향성 period=36, threshold=16 |
1.4% | -52.0% | 0.17 | 0.03 | 1.5x | 138 | 24% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.2% | -86.0% | 0.02 | -0.03 | 0.5x | 235 | 55% |
| Buy and hold | 9.8% | -73.4% | 0.44 | 0.13 | 13.6x | 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 101 days
- Sell — Sell when price breaks below the lowest low of the last 31 days