Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Wereldhave N.V. backtest
10 trend-following strategies were compared on the full daily history of Wereldhave N.V.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -6.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.8%, drawdown -94.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -23.4%, Sharpe 0.22, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.1%, MDD -28.9%, exposure 28%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 70.6%p (CAGR -0.0%, MDD -6.3%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=64, k=3.4 |
1.7% | -23.4% | 0.22 | 0.07 | 1.4x | 12 | 8% |
| Donchian 채널 돌파 entryN=64, exitN=25 |
2.1% | -28.9% | 0.22 | 0.07 | 1.5x | 46 | 28% |
| SMA 크로스오버 fast=15, slow=172 |
1.9% | -43.1% | 0.20 | 0.04 | 1.5x | 36 | 40% |
| EMA 크로스오버 fast=59, slow=82 |
-0.1% | -39.6% | 0.07 | -0.00 | 1.0x | 36 | 40% |
| ROC 모멘텀 n=73, threshold=0.04 |
-1.1% | -59.0% | 0.00 | -0.02 | 0.8x | 178 | 35% |
| ADX / DI 방향성 period=27, threshold=39 |
-0.0% | -6.3% | -0.01 | -0.00 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.3% | -67.9% | -0.02 | -0.03 | 0.6x | 170 | 49% |
| MACD fast=16, slow=35, signal=17 |
-2.5% | -67.6% | -0.02 | -0.04 | 0.6x | 233 | 50% |
| Supertrend period=9, mult=4.3 |
-2.3% | -60.4% | -0.03 | -0.04 | 0.6x | 82 | 49% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=29, mult=4 |
-1.5% | -44.1% | -0.09 | -0.03 | 0.7x | 44 | 18% |
| Buy and hold | -6.8% | -94.0% | -0.09 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 64-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 64-day middle average