Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Heineken Holding N.V. backtest
10 trend-following strategies were compared on the full daily history of Heineken Holding N.V.. 1 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 5.7%, MDD -46.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.7%, drawdown -60.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -46.9%, Sharpe 0.40, 81% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 5.7%, MDD -46.9%, exposure 81%).
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=39, exitN=137 |
5.7% | -46.9% | 0.40 | 0.12 | 3.4x | 27 | 81% |
| SMA 크로스오버 fast=28, slow=174 |
3.4% | -51.5% | 0.30 | 0.07 | 2.1x | 53 | 62% |
| ROC 모멘텀 n=117, threshold=-0.12 |
3.8% | -54.2% | 0.29 | 0.07 | 2.3x | 85 | 86% |
| EMA 크로스오버 fast=49, slow=110 |
3.2% | -58.1% | 0.28 | 0.05 | 2.0x | 37 | 64% |
| Supertrend period=26, mult=3.7 |
1.8% | -41.0% | 0.19 | 0.04 | 1.5x | 106 | 57% |
| MACD fast=51, slow=69, signal=20 |
0.9% | -42.1% | 0.13 | 0.02 | 1.2x | 142 | 50% |
| 볼린저 밴드 돌파 n=14, k=3.3 |
0.1% | -2.8% | 0.11 | 0.04 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=34, threshold=34 |
0.0% | -2.7% | 0.03 | 0.01 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=21, mult=4 |
-1.4% | -39.6% | -0.10 | -0.03 | 0.7x | 58 | 26% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.2% | -68.4% | -0.21 | -0.06 | 0.4x | 222 | 54% |
| Buy and hold | 4.7% | -60.2% | 0.32 | 0.08 | 2.8x | 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 39 days
- Sell — Sell when price breaks below the lowest low of the last 137 days