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 4.8%, MDD -35.7%).

Data 1998-07-22 ~ 2026-07-31daily bars 7,170 (28.0 years)Costs 0.5%Venue XETRMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -1.0%, drawdown -89.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.5%, MDD -45.9%, Sharpe 0.54, 50% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 43.9%p (CAGR 4.8%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=81, exitN=73
12.5%-45.9%0.540.2727.5x3350%
ROC 모멘텀
n=82, threshold=0
10.3%-55.6%0.470.1815.5x20550%
EMA 크로스오버
fast=14, slow=108
9.5%-50.5%0.450.1912.7x6950%
SMA 크로스오버
fast=20, slow=187
9.1%-56.7%0.440.1611.5x4050%
볼린저 밴드 돌파
n=33, k=2.6
6.0%-45.5%0.390.135.1x9019%
Supertrend
period=29, mult=4.7
6.1%-68.9%0.340.095.3x8451%
Keltner 채널 돌파
emaPeriod=32, atrPeriod=9, mult=2.7
4.8%-35.7%0.330.133.7x10823%
Parabolic SAR
step=0.005, maxStep=0.32
2.6%-69.0%0.230.042.0x22548%
ADX / DI 방향성
period=10, threshold=37
2.0%-56.2%0.200.041.7x16612%
MACD
fast=15, slow=53, signal=19
-0.7%-81.0%0.13-0.010.8x29351%
Buy and hold-1.0%-89.8%0.20-0.010.8x1100%
1x 10x 1999 2003 2007 2011 2015 2019 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -45% -67% -90% 1999 2003 2007 2011 2015 2019 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -45.9% (2011-01-04 → 2013-04-18), recovered after 972 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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