Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Bechtle AG backtest
10 trend-following strategies were compared on the full daily history of Bechtle AG. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.8%, MDD -41.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.3%, drawdown -98.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.1%, MDD -45.8%, Sharpe 0.57, 64% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 3.8%, MDD -41.1%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=285, threshold=0.02 |
12.1% | -45.8% | 0.57 | 0.26 | 20.6x | 92 | 64% |
| EMA 크로스오버 fast=36, slow=192 |
11.7% | -56.0% | 0.56 | 0.21 | 18.9x | 33 | 63% |
| SMA 크로스오버 fast=37, slow=230 |
11.7% | -52.5% | 0.56 | 0.22 | 19.0x | 28 | 63% |
| Donchian 채널 돌파 entryN=55, exitN=34 |
5.9% | -70.0% | 0.37 | 0.08 | 4.6x | 75 | 49% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
3.8% | -41.1% | 0.34 | 0.09 | 2.7x | 59 | 19% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=1.9 |
4.3% | -53.5% | 0.30 | 0.08 | 3.1x | 145 | 43% |
| ADX / DI 방향성 period=25, threshold=15 |
2.3% | -49.4% | 0.21 | 0.05 | 1.8x | 225 | 35% |
| Supertrend period=18, mult=2.8 |
-3.5% | -96.7% | 0.19 | -0.04 | 0.4x | 185 | 58% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-4.6% | -95.7% | 0.15 | -0.05 | 0.3x | 215 | 53% |
| MACD fast=19, slow=36, signal=18 |
0.1% | -76.7% | 0.13 | 0.00 | 1.0x | 287 | 52% |
| Buy and hold | -2.3% | -98.8% | 0.26 | -0.02 | 0.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 285-day return is greater than 2%
- Sell — Sell when the 285-day return drops to 2% or below