Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Dermapharm Holding SE backtest
10 trend-following strategies were compared on the full daily history of Dermapharm Holding SE. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.1%, MDD -26.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.5%, drawdown -66.6%).
Sharpe leader (same as main): Supertrend — CAGR 11.0%, MDD -30.5%, Sharpe 0.57, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 8.1%, MDD -26.4%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=3.8 |
11.0% | -30.5% | 0.57 | 0.36 | 2.4x | 34 | 54% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=15, mult=2 |
8.1% | -26.4% | 0.51 | 0.31 | 1.9x | 42 | 33% |
| EMA 크로스오버 fast=51, slow=143 |
9.3% | -44.1% | 0.49 | 0.21 | 2.1x | 8 | 53% |
| SMA 크로스오버 fast=48, slow=175 |
8.6% | -44.2% | 0.46 | 0.20 | 2.0x | 7 | 53% |
| ADX / DI 방향성 period=38, threshold=10 |
8.0% | -51.4% | 0.46 | 0.16 | 1.9x | 58 | 51% |
| 볼린저 밴드 돌파 n=46, k=1 |
6.0% | -29.7% | 0.39 | 0.20 | 1.6x | 54 | 41% |
| Parabolic SAR step=0.005, maxStep=0.24 |
6.0% | -41.6% | 0.37 | 0.14 | 1.6x | 74 | 47% |
| ROC 모멘텀 n=140, threshold=-0.03 |
5.7% | -41.3% | 0.34 | 0.14 | 1.6x | 47 | 60% |
| Donchian 채널 돌파 entryN=21, exitN=73 |
3.9% | -42.9% | 0.28 | 0.09 | 1.4x | 22 | 75% |
| MACD fast=16, slow=55, signal=20 |
0.6% | -44.7% | 0.14 | 0.01 | 1.1x | 81 | 48% |
| Buy and hold | 4.5% | -66.6% | 0.30 | 0.07 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)