Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Kuehne & Nagel International AG backtest
10 trend-following strategies were compared on the full daily history of Kuehne & Nagel International AG. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.8%, MDD -39.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -58.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -16.8%, Sharpe 0.63, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.8%, MDD -39.2%, exposure 60%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.1%p lower than buy and hold, while drawdown improves by 42.1%p (CAGR 8.8%, MDD -39.2%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=48, threshold=19 |
5.1% | -16.8% | 0.63 | 0.31 | 3.7x | 16 | 11% |
| SMA 크로스오버 fast=15, slow=163 |
8.8% | -39.2% | 0.54 | 0.22 | 9.1x | 59 | 60% |
| EMA 크로스오버 fast=35, slow=115 |
7.7% | -43.0% | 0.48 | 0.18 | 7.1x | 51 | 62% |
| Donchian 채널 돌파 entryN=49, exitN=58 |
7.9% | -43.8% | 0.48 | 0.18 | 7.4x | 53 | 64% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
3.5% | -21.1% | 0.45 | 0.17 | 2.5x | 22 | 12% |
| Supertrend period=20, mult=4.1 |
7.2% | -54.2% | 0.45 | 0.13 | 6.3x | 95 | 58% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=15, mult=3.2 |
4.7% | -38.8% | 0.39 | 0.12 | 3.4x | 75 | 33% |
| ROC 모멘텀 n=125, threshold=0.02 |
5.5% | -53.3% | 0.38 | 0.10 | 4.1x | 203 | 55% |
| MACD fast=22, slow=31, signal=16 |
-2.8% | -80.1% | -0.05 | -0.03 | 0.5x | 335 | 50% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-3.0% | -85.8% | -0.06 | -0.04 | 0.4x | 219 | 55% |
| Buy and hold | 10.2% | -58.9% | 0.48 | 0.17 | 13.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 48-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)