Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Beiersdorf AG backtest
10 trend-following strategies were compared on the full daily history of Beiersdorf AG. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.1%, MDD -37.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -54.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.7%, MDD -51.8%, Sharpe 0.30, 94% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 2.5%p (CAGR 4.1%, MDD -37.9%, exposure 63%).
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=44, threshold=-0.12 |
4.7% | -51.8% | 0.30 | 0.09 | 3.6x | 83 | 94% |
| EMA 크로스오버 fast=70, slow=228 |
4.1% | -37.9% | 0.29 | 0.11 | 3.0x | 28 | 63% |
| SMA 크로스오버 fast=39, slow=262 |
3.6% | -38.6% | 0.27 | 0.09 | 2.7x | 40 | 59% |
| Donchian 채널 돌파 entryN=66, exitN=75 |
0.6% | -57.0% | 0.13 | 0.01 | 1.2x | 53 | 57% |
| Supertrend period=26, mult=4.9 |
-0.3% | -53.3% | 0.10 | -0.00 | 0.9x | 81 | 59% |
| ADX / DI 방향성 period=29, threshold=33 |
0.3% | -16.7% | 0.08 | 0.02 | 1.1x | 12 | 1% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=24, mult=3.4 |
-0.6% | -55.2% | 0.02 | -0.01 | 0.8x | 68 | 25% |
| 볼린저 밴드 돌파 n=14, k=3.2 |
-0.1% | -13.0% | -0.02 | -0.01 | 1.0x | 10 | 1% |
| MACD fast=31, slow=39, signal=17 |
-3.8% | -79.3% | -0.10 | -0.05 | 0.3x | 267 | 51% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-6.8% | -89.4% | -0.25 | -0.08 | 0.1x | 503 | 51% |
| Buy and hold | 4.9% | -54.3% | 0.31 | 0.09 | 3.8x | 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 44-day return is greater than -12%
- Sell — Sell when the 44-day return drops to -12% or below