Trend-Following Backtester · Guide · backtest 한국어
equity · DE
BASF SE backtest
10 trend-following strategies were compared on the full daily history of BASF SE. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.3%, drawdown -61.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.0%, MDD -57.9%, Sharpe 0.28, 79% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=18, exitN=64 |
4.0% | -57.9% | 0.28 | 0.07 | 3.2x | 83 | 79% |
| 볼린저 밴드 돌파 n=19, k=3.4 |
0.6% | -5.5% | 0.24 | 0.10 | 1.2x | 2 | 0% |
| SMA 크로스오버 fast=27, slow=115 |
1.8% | -51.9% | 0.19 | 0.04 | 1.7x | 79 | 56% |
| Supertrend period=27, mult=4.6 |
1.4% | -55.1% | 0.17 | 0.02 | 1.5x | 103 | 53% |
| EMA 크로스오버 fast=51, slow=76 |
1.0% | -64.1% | 0.15 | 0.02 | 1.4x | 75 | 57% |
| ROC 모멘텀 n=117, threshold=0.01 |
-0.4% | -61.9% | 0.07 | -0.01 | 0.9x | 281 | 54% |
| MACD fast=16, slow=59, signal=24 |
-1.9% | -66.1% | 0.00 | -0.03 | 0.6x | 291 | 52% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.2% | -75.7% | -0.01 | -0.03 | 0.5x | 277 | 53% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=12, mult=1 |
-2.5% | -60.3% | -0.07 | -0.04 | 0.5x | 261 | 46% |
| ADX / DI 방향성 period=25, threshold=38 |
-0.1% | -4.8% | -0.13 | -0.02 | 1.0x | 2 | 0% |
| Buy and hold | 4.3% | -61.9% | 0.29 | 0.07 | 3.5x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 64 days