Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Durr AG backtest
10 trend-following strategies were compared on the full daily history of Durr AG. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.7%, MDD -50.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.6%, drawdown -79.1%).
Sharpe leader (same as main): Supertrend — CAGR 8.4%, MDD -56.8%, Sharpe 0.45, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 2.7%, MDD -50.0%, exposure 41%).
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=28, mult=2.9 |
8.4% | -56.8% | 0.45 | 0.15 | 9.5x | 198 | 53% |
| Donchian 채널 돌파 entryN=34, exitN=39 |
7.0% | -57.4% | 0.40 | 0.12 | 6.7x | 80 | 56% |
| SMA 크로스오버 fast=18, slow=207 |
5.1% | -62.8% | 0.32 | 0.08 | 4.0x | 56 | 54% |
| ROC 모멘텀 n=148, threshold=0.13 |
4.3% | -50.0% | 0.31 | 0.09 | 3.2x | 174 | 36% |
| EMA 크로스오버 fast=54, slow=204 |
4.4% | -71.5% | 0.30 | 0.06 | 3.4x | 32 | 51% |
| MACD fast=18, slow=27, signal=23 |
3.5% | -56.6% | 0.26 | 0.06 | 2.6x | 305 | 50% |
| 볼린저 밴드 돌파 n=58, k=1.2 |
2.7% | -50.0% | 0.23 | 0.05 | 2.1x | 160 | 41% |
| ADX / DI 방향성 period=10, threshold=41 |
1.5% | -32.7% | 0.22 | 0.05 | 1.5x | 106 | 7% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.9% | -61.6% | 0.20 | 0.03 | 1.7x | 225 | 53% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=16, mult=2.9 |
1.4% | -32.3% | 0.17 | 0.04 | 1.5x | 104 | 18% |
| Buy and hold | 2.6% | -79.1% | 0.25 | 0.03 | 2.1x | 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) — 28-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)