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. 8 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 8.6%, MDD -30.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.3%, drawdown -75.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.1%, MDD -34.0%, Sharpe 0.63, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 41.3%p (CAGR 8.6%, MDD -30.7%, exposure 28%).
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=65 |
11.1% | -34.0% | 0.63 | 0.33 | 8.7x | 26 | 46% |
| 볼린저 밴드 돌파 n=52, k=2.8 |
8.5% | -41.4% | 0.61 | 0.21 | 5.4x | 46 | 25% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=2.5 |
8.6% | -30.7% | 0.59 | 0.28 | 5.5x | 66 | 28% |
| SMA 크로스오버 fast=20, slow=67 |
7.9% | -56.0% | 0.45 | 0.14 | 4.8x | 76 | 50% |
| Supertrend period=19, mult=4.5 |
6.9% | -55.8% | 0.41 | 0.12 | 3.9x | 60 | 56% |
| EMA 크로스오버 fast=35, slow=42 |
6.4% | -50.3% | 0.39 | 0.13 | 3.6x | 70 | 53% |
| MACD fast=50, slow=80, signal=16 |
6.0% | -57.1% | 0.37 | 0.11 | 3.3x | 127 | 50% |
| Parabolic SAR step=0.005, maxStep=0.02 |
5.5% | -58.6% | 0.35 | 0.09 | 3.0x | 103 | 52% |
| ROC 모멘텀 n=113, threshold=0.07 |
4.3% | -63.2% | 0.32 | 0.07 | 2.4x | 166 | 42% |
| ADX / DI 방향성 period=39, threshold=9 |
3.6% | -47.4% | 0.27 | 0.08 | 2.1x | 180 | 44% |
| Buy and hold | 5.3% | -75.3% | 0.32 | 0.07 | 2.9x | 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 65 days