Trend-Following Backtester · Guide · backtest 한국어
equity · AT
DO & CO Aktiengesellschaft backtest
10 trend-following strategies were compared on the full daily history of DO & CO Aktiengesellschaft. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.0%, MDD -43.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.1%, drawdown -72.1%).
Sharpe leader (same as main): Supertrend — CAGR 13.9%, MDD -44.9%, Sharpe 0.64, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.9%, MDD -51.8%, exposure 81%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 13.0%, MDD -43.2%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=31, mult=5 |
13.9% | -44.9% | 0.64 | 0.31 | 31.6x | 89 | 58% |
| Donchian 채널 돌파 entryN=16, exitN=64 |
15.9% | -51.8% | 0.63 | 0.31 | 50.3x | 77 | 81% |
| EMA 크로스오버 fast=13, slow=31 |
12.9% | -43.9% | 0.60 | 0.29 | 25.3x | 178 | 56% |
| SMA 크로스오버 fast=15, slow=53 |
13.0% | -43.2% | 0.59 | 0.30 | 26.0x | 131 | 55% |
| Parabolic SAR step=0.005, maxStep=0.26 |
12.7% | -56.0% | 0.59 | 0.23 | 24.0x | 192 | 54% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=21, mult=1.9 |
11.1% | -38.5% | 0.56 | 0.29 | 16.4x | 125 | 47% |
| ROC 모멘텀 n=173, threshold=-0.09 |
12.4% | -53.9% | 0.54 | 0.23 | 22.2x | 117 | 73% |
| 볼린저 밴드 돌파 n=37, k=2.8 |
7.2% | -47.0% | 0.49 | 0.15 | 6.3x | 74 | 19% |
| ADX / DI 방향성 period=36, threshold=19 |
4.1% | -48.3% | 0.35 | 0.09 | 2.9x | 70 | 17% |
| MACD fast=23, slow=44, signal=15 |
5.5% | -56.9% | 0.34 | 0.10 | 4.1x | 292 | 49% |
| Buy and hold | 12.1% | -72.1% | 0.49 | 0.17 | 21.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 31-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)