Trend-Following Backtester · Guide · backtest 한국어
equity · AT
CA Immobilien Anlagen AG backtest
10 trend-following strategies were compared on the full daily history of CA Immobilien Anlagen AG. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.7%, MDD -22.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.7%, drawdown -90.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.5%, MDD -31.5%, Sharpe 0.44, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 59.1%p (CAGR 3.7%, MDD -22.5%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=9, mult=2 |
5.5% | -31.5% | 0.44 | 0.17 | 4.1x | 128 | 54% |
| 볼린저 밴드 돌파 n=56, k=2.2 |
4.7% | -28.4% | 0.41 | 0.16 | 3.4x | 80 | 43% |
| ADX / DI 방향성 period=32, threshold=21 |
3.7% | -22.5% | 0.40 | 0.16 | 2.6x | 58 | 25% |
| EMA 크로스오버 fast=15, slow=52 |
5.0% | -54.2% | 0.37 | 0.09 | 3.7x | 98 | 67% |
| SMA 크로스오버 fast=11, slow=90 |
4.7% | -53.0% | 0.35 | 0.09 | 3.4x | 88 | 67% |
| Supertrend period=15, mult=4.3 |
4.5% | -47.9% | 0.35 | 0.09 | 3.2x | 156 | 59% |
| Donchian 채널 돌파 entryN=29, exitN=75 |
4.5% | -60.7% | 0.33 | 0.07 | 3.2x | 51 | 76% |
| ROC 모멘텀 n=134, threshold=-0.03 |
4.1% | -52.5% | 0.32 | 0.08 | 2.9x | 125 | 73% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-3.1% | -65.9% | -0.08 | -0.05 | 0.4x | 219 | 60% |
| MACD fast=19, slow=31, signal=13 |
-7.4% | -88.0% | -0.29 | -0.08 | 0.1x | 397 | 49% |
| Buy and hold | 1.7% | -90.7% | 0.21 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 53-day average + 2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 53-day average