Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Thule Group AB backtest
10 trend-following strategies were compared on the full daily history of Thule Group AB. 0 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 8.5%, MDD -35.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -65.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.5%, MDD -35.6%, Sharpe 0.47, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 30.2%p (CAGR 8.5%, MDD -35.6%, exposure 58%).
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=51, exitN=55 |
8.5% | -35.6% | 0.47 | 0.24 | 2.6x | 24 | 58% |
| EMA 크로스오버 fast=15, slow=105 |
7.7% | -33.3% | 0.44 | 0.23 | 2.4x | 32 | 60% |
| SMA 크로스오버 fast=24, slow=211 |
6.1% | -47.7% | 0.38 | 0.13 | 2.0x | 12 | 61% |
| ROC 모멘텀 n=125, threshold=-0.01 |
5.2% | -45.0% | 0.34 | 0.12 | 1.8x | 61 | 62% |
| 볼린저 밴드 돌파 n=55, k=2.3 |
4.1% | -35.9% | 0.33 | 0.11 | 1.6x | 34 | 33% |
| MACD fast=23, slow=29, signal=19 |
3.5% | -51.3% | 0.26 | 0.07 | 1.5x | 121 | 49% |
| Supertrend period=26, mult=2.1 |
2.7% | -61.5% | 0.23 | 0.04 | 1.4x | 123 | 57% |
| Parabolic SAR step=0.005, maxStep=0.1 |
2.0% | -61.2% | 0.20 | 0.03 | 1.3x | 95 | 59% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=2.4 |
0.9% | -43.3% | 0.14 | 0.02 | 1.1x | 48 | 41% |
| ADX / DI 방향성 period=26, threshold=20 |
-0.1% | -26.9% | 0.06 | -0.00 | 1.0x | 42 | 22% |
| Buy and hold | 9.3% | -65.8% | 0.43 | 0.14 | 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 51 days
- Sell — Sell when price breaks below the lowest low of the last 55 days