Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Hexpol AB Class B backtest
10 trend-following strategies were compared on the full daily history of Hexpol AB Class B. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.3%, MDD -33.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 11.4%, drawdown -99.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.8%, MDD -45.1%, Sharpe 0.64, 58% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 54.0%p (CAGR 17.3%, MDD -33.9%, exposure 38%).
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=85, exitN=75 |
25.8% | -45.1% | 0.64 | 0.57 | 443.4x | 29 | 58% |
| SMA 크로스오버 fast=24, slow=220 |
23.8% | -37.5% | 0.60 | 0.64 | 290.3x | 34 | 62% |
| 볼린저 밴드 돌파 n=115, k=1.1 |
21.1% | -43.7% | 0.56 | 0.48 | 163.6x | 79 | 52% |
| ROC 모멘텀 n=118, threshold=0.05 |
20.2% | -44.8% | 0.54 | 0.45 | 133.0x | 169 | 54% |
| EMA 크로스오버 fast=49, slow=53 |
19.8% | -69.8% | 0.53 | 0.28 | 121.3x | 63 | 62% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=22, mult=4 |
17.3% | -33.9% | 0.49 | 0.51 | 69.7x | 55 | 38% |
| ADX / DI 방향성 period=17, threshold=25 |
9.4% | -52.1% | 0.32 | 0.18 | 10.9x | 169 | 24% |
| Supertrend period=20, mult=3.7 |
2.2% | -97.0% | 0.32 | 0.02 | 1.8x | 153 | 59% |
| Parabolic SAR step=0.025, maxStep=0.14 |
5.4% | -77.1% | 0.26 | 0.07 | 4.0x | 585 | 54% |
| MACD fast=11, slow=17, signal=17 |
4.6% | -80.2% | 0.25 | 0.06 | 3.3x | 473 | 51% |
| Buy and hold | 11.4% | -99.1% | 0.49 | 0.12 | 17.8x | 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 85 days
- Sell — Sell when price breaks below the lowest low of the last 75 days