Trend-Following Backtester · Guide · backtest 한국어
equity · AT
Raiffeisen Bank International AG backtest
10 trend-following strategies were compared on the full daily history of Raiffeisen Bank International AG. 8 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 11.7%, MDD -37.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.2%, drawdown -92.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -37.9%, Sharpe 0.59, 40% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.0%, MDD -66.0%, exposure 54%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 54.4%p (CAGR 11.7%, MDD -37.9%, exposure 40%).
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=71, exitN=26 |
11.7% | -37.9% | 0.59 | 0.31 | 10.7x | 47 | 40% |
| SMA 크로스오버 fast=24, slow=107 |
12.0% | -66.0% | 0.55 | 0.18 | 11.3x | 49 | 54% |
| Supertrend period=9, mult=3.8 |
11.1% | -52.4% | 0.52 | 0.21 | 9.5x | 89 | 50% |
| 볼린저 밴드 돌파 n=30, k=2.5 |
8.1% | -45.1% | 0.49 | 0.18 | 5.3x | 95 | 27% |
| ROC 모멘텀 n=143, threshold=0.08 |
9.2% | -64.4% | 0.48 | 0.14 | 6.5x | 151 | 45% |
| EMA 크로스오버 fast=37, slow=64 |
9.1% | -67.3% | 0.46 | 0.14 | 6.4x | 53 | 55% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=9, mult=1.5 |
7.6% | -61.8% | 0.42 | 0.12 | 4.8x | 135 | 43% |
| ADX / DI 방향성 period=36, threshold=8 |
5.4% | -53.3% | 0.34 | 0.10 | 3.1x | 223 | 42% |
| MACD fast=16, slow=59, signal=22 |
0.2% | -88.5% | 0.15 | 0.00 | 1.0x | 204 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.1% | -92.3% | 0.03 | -0.03 | 0.5x | 183 | 52% |
| Buy and hold | 2.2% | -92.3% | 0.27 | 0.02 | 1.6x | 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 71 days
- Sell — Sell when price breaks below the lowest low of the last 26 days