Trend-Following Backtester · Guide · backtest 한국어

equity · NL

Koninklijke Heijmans N.V. backtest

10 trend-following strategies were compared on the full daily history of Koninklijke Heijmans N.V.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.0%, MDD -57.8%).

Data 1998-07-20 ~ 2026-07-31daily bars 7,214 (28.0 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 0.6%, drawdown -96.7%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.5%, MDD -59.2%, Sharpe 0.50, 35% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 10.0%, MDD -57.8%, exposure 59%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 10.0%, MDD -57.8%, exposure 59%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=87, atrPeriod=29, mult=4
8.5%-59.2%0.500.149.7x6635%
Donchian 채널 돌파
entryN=60, exitN=75
10.0%-57.8%0.500.1714.3x4759%
ROC 모멘텀
n=102, threshold=-0.01
9.9%-60.7%0.500.1614.2x22958%
EMA 크로스오버
fast=46, slow=149
7.6%-72.4%0.420.107.8x4154%
SMA 크로스오버
fast=38, slow=166
7.2%-74.9%0.400.107.0x4755%
볼린저 밴드 돌파
n=25, k=1.1
6.4%-67.0%0.360.105.8x33842%
MACD
fast=18, slow=59, signal=19
5.6%-74.8%0.330.074.6x28050%
Parabolic SAR
step=0.015, maxStep=0.16
4.7%-67.6%0.300.073.7x46051%
Supertrend
period=9, mult=4.9
4.4%-70.8%0.290.063.3x10056%
ADX / DI 방향성
period=20, threshold=16
3.7%-74.1%0.260.052.8x29238%
Buy and hold0.6%-96.7%0.210.011.2x1100%
0.1 1x 10x 1999 2003 2007 2011 2015 2019 2023 Donchian 채널 돌파Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -24% -48% -73% -97% 1999 2003 2007 2011 2015 2019 2023 Buy and holdDonchian 채널 돌파Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -59.2% (2015-04-15 → 2020-08-31), recovered after 3,325 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next