Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Implenia AG backtest
10 trend-following strategies were compared on the full daily history of Implenia AG. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.5%, MDD -30.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.1%, drawdown -75.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -34.0%, Sharpe 0.63, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 41.3%p (CAGR 8.5%, MDD -30.8%, exposure 27%).
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=98, exitN=64 |
11.2% | -34.0% | 0.63 | 0.33 | 8.7x | 26 | 46% |
| 볼린저 밴드 돌파 n=49, k=2.7 |
8.4% | -44.3% | 0.60 | 0.19 | 5.2x | 50 | 26% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=12, mult=2.4 |
8.5% | -30.8% | 0.58 | 0.27 | 5.2x | 72 | 27% |
| SMA 크로스오버 fast=32, slow=80 |
7.7% | -52.5% | 0.44 | 0.15 | 4.5x | 69 | 52% |
| EMA 크로스오버 fast=31, slow=45 |
6.5% | -52.6% | 0.39 | 0.12 | 3.6x | 72 | 53% |
| Supertrend period=27, mult=4.7 |
6.2% | -62.4% | 0.38 | 0.10 | 3.4x | 58 | 56% |
| ROC 모멘텀 n=72, threshold=0.13 |
4.2% | -35.7% | 0.34 | 0.12 | 2.3x | 154 | 26% |
| ADX / DI 방향성 period=31, threshold=19 |
2.9% | -46.1% | 0.27 | 0.06 | 1.8x | 84 | 21% |
| Parabolic SAR step=0.015, maxStep=0.18 |
0.3% | -59.0% | 0.13 | 0.01 | 1.1x | 336 | 51% |
| MACD fast=18, slow=28, signal=18 |
-4.2% | -82.3% | -0.07 | -0.05 | 0.4x | 252 | 51% |
| Buy and hold | 5.1% | -75.3% | 0.32 | 0.07 | 2.7x | 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 98 days
- Sell — Sell when price breaks below the lowest low of the last 64 days