Trend-Following Backtester · Guide · backtest 한국어
equity · SE
H&M Hennes & Mauritz AB Class B backtest
10 trend-following strategies were compared on the full daily history of H&M Hennes & Mauritz AB Class B. 2 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 2.5%, MDD -39.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.5%, drawdown -72.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.5%, MDD -39.1%, Sharpe 0.23, 43% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 2.5%, MDD -39.1%, exposure 43%).
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=112, exitN=77 |
2.5% | -39.1% | 0.23 | 0.06 | 1.9x | 28 | 43% |
| SMA 크로스오버 fast=72, slow=190 |
2.1% | -55.0% | 0.20 | 0.04 | 1.7x | 40 | 53% |
| EMA 크로스오버 fast=60, slow=143 |
0.2% | -52.7% | 0.11 | 0.00 | 1.1x | 42 | 54% |
| 볼린저 밴드 돌파 n=13, k=3.2 |
0.2% | -8.9% | 0.10 | 0.03 | 1.1x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=10, mult=3.4 |
-0.0% | -17.7% | 0.01 | -0.00 | 1.0x | 8 | 1% |
| ROC 모멘텀 n=121, threshold=0.03 |
-1.6% | -70.2% | 0.00 | -0.02 | 0.7x | 254 | 44% |
| Supertrend period=21, mult=3.4 |
-3.3% | -71.4% | -0.05 | -0.05 | 0.4x | 161 | 50% |
| ADX / DI 방향성 period=37, threshold=17 |
-1.8% | -55.1% | -0.13 | -0.03 | 0.6x | 80 | 16% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-7.8% | -90.0% | -0.26 | -0.09 | 0.1x | 241 | 52% |
| MACD fast=16, slow=24, signal=19 |
-9.0% | -93.6% | -0.31 | -0.10 | 0.1x | 383 | 51% |
| Buy and hold | 0.5% | -72.7% | 0.18 | 0.01 | 1.2x | 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 112 days
- Sell — Sell when price breaks below the lowest low of the last 77 days