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Trend-Following Backtester · Guide · backtest 한국어

equity · NL

Koninklijke Heijmans N.V. backtest

10 trend-following strategies were compared on the full daily history of Koninklijke Heijmans N.V.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.0%, MDD -57.8%).

Data 1998-07-20 ~ 2026-07-31daily bars 7,214 (28.0 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 0.6%, drawdown -96.7%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.5%, MDD -59.2%, Sharpe 0.50, 35% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 10.0%, MDD -57.8%, exposure 59%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 10.0%, MDD -57.8%, exposure 59%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=87, atrPeriod=29, mult=4
8.5%-59.2%0.500.149.7x6635%
Donchian 채널 돌파
entryN=60, exitN=75
10.0%-57.8%0.500.1714.3x4759%
ROC 모멘텀
n=102, threshold=-0.01
9.9%-60.7%0.500.1614.2x22958%
EMA 크로스오버
fast=46, slow=149
7.6%-72.4%0.420.107.8x4154%
SMA 크로스오버
fast=38, slow=166
7.2%-74.9%0.400.107.0x4755%
볼린저 밴드 돌파
n=25, k=1.1
6.4%-67.0%0.360.105.8x33842%
MACD
fast=18, slow=59, signal=19
5.6%-74.8%0.330.074.6x28050%
Parabolic SAR
step=0.015, maxStep=0.16
4.7%-67.6%0.300.073.7x46051%
Supertrend
period=9, mult=4.9
4.4%-70.8%0.290.063.3x10056%
ADX / DI 방향성
period=20, threshold=16
3.7%-74.1%0.260.052.8x29238%
Buy and hold0.6%-96.7%0.210.011.2x1100%
0.1 1x 10x 1999 2003 2007 2011 2015 2019 2023 Donchian 채널 돌파Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -24% -48% -73% -97% 1999 2003 2007 2011 2015 2019 2023 Buy and holdDonchian 채널 돌파Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -59.2% (2015-04-15 → 2020-08-31), recovered after 3,325 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore NL assetsAll asset reports

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