Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Deutsche Bank Aktiengesellschaft backtest
10 trend-following strategies were compared on the full daily history of Deutsche Bank Aktiengesellschaft. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -19.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.4%, drawdown -94.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.9%, MDD -44.5%, Sharpe 0.38, 36% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 50.2%p (CAGR 0.4%, MDD -19.5%, exposure 2%).
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=71, exitN=26 |
5.9% | -44.5% | 0.38 | 0.13 | 5.4x | 69 | 36% |
| SMA 크로스오버 fast=56, slow=85 |
2.5% | -74.0% | 0.22 | 0.03 | 2.1x | 97 | 54% |
| Supertrend period=21, mult=2.9 |
2.5% | -56.2% | 0.22 | 0.04 | 2.1x | 226 | 52% |
| ROC 모멘텀 n=139, threshold=-0.04 |
1.5% | -84.6% | 0.18 | 0.02 | 1.5x | 226 | 58% |
| EMA 크로스오버 fast=38, slow=41 |
1.0% | -85.9% | 0.16 | 0.01 | 1.3x | 113 | 51% |
| 볼린저 밴드 돌파 n=56, k=2.5 |
0.9% | -61.7% | 0.13 | 0.01 | 1.3x | 77 | 24% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=39, mult=1.5 |
0.2% | -73.9% | 0.11 | 0.00 | 1.1x | 179 | 41% |
| ADX / DI 방향성 period=34, threshold=26 |
0.4% | -19.5% | 0.11 | 0.02 | 1.1x | 10 | 2% |
| MACD fast=14, slow=48, signal=17 |
-1.9% | -84.4% | 0.06 | -0.02 | 0.6x | 382 | 50% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-5.1% | -94.8% | -0.06 | -0.05 | 0.2x | 557 | 51% |
| Buy and hold | 0.4% | -94.7% | 0.21 | 0.00 | 1.1x | 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 71 days
- Sell — Sell when price breaks below the lowest low of the last 26 days