Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Fresenius Medical Care AG backtest
10 trend-following strategies were compared on the full daily history of Fresenius Medical Care AG. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.5%, MDD -52.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.5%, drawdown -80.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.6%, MDD -68.3%, Sharpe 0.30, 93% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 12.2%p (CAGR 2.5%, MDD -52.6%, exposure 76%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=44, threshold=-0.15 |
4.6% | -68.3% | 0.30 | 0.07 | 3.6x | 97 | 93% |
| SMA 크로스오버 fast=67, slow=242 |
3.9% | -59.2% | 0.28 | 0.07 | 2.9x | 35 | 60% |
| Donchian 채널 돌파 entryN=24, exitN=79 |
2.5% | -52.6% | 0.22 | 0.05 | 2.0x | 65 | 76% |
| EMA 크로스오버 fast=33, slow=196 |
0.5% | -71.1% | 0.13 | 0.01 | 1.2x | 53 | 58% |
| ADX / DI 방향성 period=31, threshold=17 |
0.7% | -44.9% | 0.12 | 0.02 | 1.2x | 112 | 20% |
| Supertrend period=12, mult=3.9 |
0.2% | -58.4% | 0.11 | 0.00 | 1.1x | 124 | 56% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.1% | -66.0% | 0.10 | -0.00 | 1.0x | 240 | 52% |
| 볼린저 밴드 돌파 n=23, k=3.2 |
0.3% | -34.5% | 0.07 | 0.01 | 1.1x | 34 | 5% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=21, mult=2.1 |
-1.8% | -67.1% | -0.03 | -0.03 | 0.6x | 156 | 31% |
| MACD fast=17, slow=57, signal=17 |
-4.2% | -83.8% | -0.09 | -0.05 | 0.3x | 332 | 51% |
| Buy and hold | 2.5% | -80.6% | 0.23 | 0.03 | 2.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 44-day return is greater than -15%
- Sell — Sell when the 44-day return drops to -15% or below