Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Delivery Hero SE backtest
10 trend-following strategies were compared on the full daily history of Delivery Hero SE. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.3%, MDD -36.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.3%, drawdown -89.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 30.9%, MDD -39.8%, Sharpe 0.91, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 27.6%p higher than buy and hold, while drawdown improves by 49.6%p (CAGR 12.3%, MDD -36.7%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.06 |
30.9% | -39.8% | 0.91 | 0.78 | 11.5x | 105 | 53% |
| Supertrend period=8, mult=2 |
25.9% | -52.1% | 0.83 | 0.50 | 8.1x | 95 | 47% |
| MACD fast=21, slow=48, signal=17 |
27.6% | -66.5% | 0.81 | 0.41 | 9.1x | 76 | 49% |
| 볼린저 밴드 돌파 n=21, k=1.3 |
21.3% | -39.0% | 0.77 | 0.54 | 5.8x | 98 | 40% |
| SMA 크로스오버 fast=11, slow=18 |
20.2% | -67.2% | 0.68 | 0.30 | 5.3x | 121 | 52% |
| ROC 모멘텀 n=129, threshold=0.08 |
16.8% | -45.0% | 0.65 | 0.37 | 4.1x | 65 | 44% |
| Donchian 채널 돌파 entryN=19, exitN=7 |
15.1% | -49.7% | 0.62 | 0.30 | 3.6x | 76 | 36% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=17, mult=1.7 |
12.3% | -36.7% | 0.56 | 0.33 | 2.9x | 74 | 28% |
| ADX / DI 방향성 period=8, threshold=12 |
8.9% | -68.6% | 0.41 | 0.13 | 2.2x | 246 | 52% |
| EMA 크로스오버 fast=49, slow=219 |
5.1% | -52.7% | 0.32 | 0.10 | 1.6x | 9 | 39% |
| Buy and hold | 3.3% | -89.4% | 0.33 | 0.04 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots