Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Allianz SE backtest
10 trend-following strategies were compared on the full daily history of Allianz SE. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 4.9%, MDD -39.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.9%, drawdown -89.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.7%, MDD -43.9%, Sharpe 0.35, 54% exposure.
CAGR reference leader: Parabolic SAR — CAGR 4.9%, MDD -39.3%, exposure 56%.
Return/drawdown alternative: Parabolic SAR — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 4.9%, MDD -39.3%, exposure 56%).
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=92, exitN=66 |
4.7% | -43.9% | 0.35 | 0.11 | 4.0x | 41 | 54% |
| Parabolic SAR step=0.005, maxStep=0.28 |
4.9% | -39.3% | 0.33 | 0.12 | 4.1x | 271 | 56% |
| EMA 크로스오버 fast=46, slow=206 |
4.4% | -49.3% | 0.32 | 0.09 | 3.6x | 35 | 64% |
| ROC 모멘텀 n=126, threshold=-0.04 |
3.7% | -60.1% | 0.28 | 0.06 | 2.9x | 201 | 70% |
| SMA 크로스오버 fast=20, slow=194 |
3.0% | -56.8% | 0.25 | 0.05 | 2.4x | 63 | 60% |
| Supertrend period=19, mult=2.7 |
3.1% | -48.1% | 0.25 | 0.06 | 2.5x | 249 | 57% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=19, mult=1.4 |
1.5% | -47.3% | 0.17 | 0.03 | 1.5x | 161 | 52% |
| MACD fast=15, slow=68, signal=26 |
-0.5% | -75.4% | 0.08 | -0.01 | 0.9x | 267 | 51% |
| 볼린저 밴드 돌파 n=42, k=2.2 |
-0.4% | -53.4% | 0.04 | -0.01 | 0.9x | 135 | 31% |
| ADX / DI 방향성 period=24, threshold=39 |
-0.0% | -1.1% | -0.05 | -0.02 | 1.0x | 2 | 0% |
| Buy and hold | 3.9% | -89.7% | 0.28 | 0.04 | 3.1x | 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 92 days
- Sell — Sell when price breaks below the lowest low of the last 66 days