Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Koninklijke BAM Groep NV backtest
10 trend-following strategies were compared on the full daily history of Koninklijke BAM Groep NV. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.2%, MDD -55.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.3%, drawdown -94.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.2%, MDD -60.4%, Sharpe 0.59, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 7.2%, MDD -55.0%, exposure 51%).
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=7, slow=172 |
13.2% | -60.4% | 0.59 | 0.22 | 24.0x | 61 | 55% |
| EMA 크로스오버 fast=25, slow=94 |
12.3% | -58.8% | 0.56 | 0.21 | 19.4x | 57 | 56% |
| Donchian 채널 돌파 entryN=38, exitN=35 |
11.3% | -57.9% | 0.52 | 0.20 | 15.5x | 80 | 56% |
| ROC 모멘텀 n=135, threshold=0.14 |
7.9% | -62.5% | 0.43 | 0.13 | 7.0x | 190 | 40% |
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=10, mult=1 |
7.2% | -55.0% | 0.39 | 0.13 | 5.9x | 154 | 51% |
| Supertrend period=16, mult=1.5 |
7.5% | -61.3% | 0.39 | 0.12 | 6.4x | 472 | 52% |
| 볼린저 밴드 돌파 n=17, k=3.4 |
1.3% | -7.6% | 0.32 | 0.17 | 1.4x | 10 | 2% |
| MACD fast=14, slow=28, signal=9 |
5.2% | -69.8% | 0.32 | 0.07 | 3.7x | 438 | 50% |
| Parabolic SAR step=0.015, maxStep=0.08 |
2.5% | -71.2% | 0.23 | 0.04 | 1.9x | 374 | 51% |
| ADX / DI 방향성 period=30, threshold=7 |
1.3% | -72.4% | 0.18 | 0.02 | 1.4x | 334 | 50% |
| Buy and hold | 5.3% | -94.3% | 0.33 | 0.06 | 3.8x | 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 7-day average price crosses above the 172-day average
- Sell — Sell (to cash) when the 7-day average falls below the 172-day average