Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Deutsche Telekom AG backtest
10 trend-following strategies were compared on the full daily history of Deutsche Telekom AG. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -21.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.6%, drawdown -92.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -58.5%, Sharpe 0.31, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 1.3%, MDD -21.1%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=61, k=2.1 |
3.7% | -58.5% | 0.31 | 0.06 | 2.9x | 88 | 29% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=28, mult=2.5 |
3.4% | -53.8% | 0.30 | 0.06 | 2.7x | 106 | 30% |
| ADX / DI 방향성 period=30, threshold=34 |
1.3% | -21.1% | 0.22 | 0.06 | 1.5x | 4 | 1% |
| SMA 크로스오버 fast=9, slow=262 |
1.7% | -75.9% | 0.18 | 0.02 | 1.7x | 80 | 54% |
| Donchian 채널 돌파 entryN=53, exitN=15 |
1.6% | -74.9% | 0.18 | 0.02 | 1.6x | 116 | 28% |
| EMA 크로스오버 fast=41, slow=111 |
1.6% | -74.5% | 0.18 | 0.02 | 1.6x | 64 | 53% |
| Supertrend period=9, mult=5 |
1.2% | -72.9% | 0.16 | 0.02 | 1.4x | 96 | 44% |
| ROC 모멘텀 n=64, threshold=0.14 |
0.3% | -60.1% | 0.09 | 0.01 | 1.1x | 210 | 14% |
| Parabolic SAR step=0.005, maxStep=0.04 |
-1.5% | -82.4% | 0.03 | -0.02 | 0.6x | 237 | 52% |
| MACD fast=24, slow=59, signal=17 |
-2.4% | -85.0% | -0.01 | -0.03 | 0.5x | 295 | 52% |
| Buy and hold | 1.6% | -92.5% | 0.20 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 61-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 61-day middle average