Trend-Following Backtester · Guide · backtest 한국어
equity · DE
DEUTZ AG backtest
10 trend-following strategies were compared on the full daily history of DEUTZ AG. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.2%, MDD -35.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.1%, drawdown -89.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.6%, MDD -45.9%, Sharpe 0.57, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 43.9%p (CAGR 5.2%, MDD -35.7%, exposure 23%).
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=81, exitN=73 |
13.6% | -45.9% | 0.57 | 0.30 | 35.8x | 33 | 50% |
| ROC 모멘텀 n=82, threshold=0 |
11.3% | -55.6% | 0.51 | 0.20 | 20.4x | 209 | 51% |
| EMA 크로스오버 fast=14, slow=108 |
10.5% | -50.5% | 0.48 | 0.21 | 16.5x | 69 | 51% |
| SMA 크로스오버 fast=20, slow=187 |
9.9% | -56.7% | 0.46 | 0.17 | 14.1x | 41 | 50% |
| 볼린저 밴드 돌파 n=33, k=2.6 |
6.3% | -45.5% | 0.41 | 0.14 | 5.6x | 91 | 19% |
| Supertrend period=29, mult=4.7 |
6.7% | -68.9% | 0.36 | 0.10 | 6.2x | 85 | 51% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=9, mult=2.7 |
5.2% | -35.7% | 0.35 | 0.14 | 4.1x | 109 | 23% |
| Parabolic SAR step=0.005, maxStep=0.32 |
3.5% | -69.0% | 0.26 | 0.05 | 2.6x | 225 | 48% |
| ADX / DI 방향성 period=10, threshold=37 |
2.0% | -56.2% | 0.20 | 0.04 | 1.7x | 166 | 12% |
| MACD fast=15, slow=53, signal=19 |
0.3% | -81.0% | 0.16 | 0.00 | 1.1x | 293 | 51% |
| Buy and hold | -0.1% | -89.8% | 0.22 | -0.00 | 1.0x | 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 81 days
- Sell — Sell when price breaks below the lowest low of the last 73 days