Trend-Following Backtester · Guide · backtest 한국어
equity · DE
freenet AG backtest
10 trend-following strategies were compared on the full daily history of freenet AG. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.3%, MDD -42.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.0%, drawdown -99.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -44.7%, Sharpe 0.52, 38% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 9.4%, MDD -44.7%, exposure 39%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 54.7%p (CAGR 7.3%, MDD -42.0%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=75, exitN=34 |
9.3% | -44.7% | 0.52 | 0.21 | 10.5x | 56 | 38% |
| 볼린저 밴드 돌파 n=75, k=1.6 |
9.4% | -44.7% | 0.51 | 0.21 | 10.8x | 78 | 39% |
| SMA 크로스오버 fast=8, slow=159 |
8.7% | -50.9% | 0.46 | 0.17 | 9.3x | 70 | 53% |
| EMA 크로스오버 fast=7, slow=227 |
7.3% | -42.0% | 0.43 | 0.17 | 6.5x | 52 | 52% |
| Supertrend period=14, mult=3.8 |
8.8% | -80.0% | 0.41 | 0.11 | 9.3x | 113 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=3.1 |
6.1% | -48.4% | 0.40 | 0.13 | 4.9x | 82 | 31% |
| ROC 모멘텀 n=86, threshold=-0.02 |
7.0% | -68.0% | 0.39 | 0.10 | 6.0x | 238 | 57% |
| Parabolic SAR step=0.005, maxStep=0.08 |
6.7% | -77.1% | 0.36 | 0.09 | 5.6x | 213 | 55% |
| ADX / DI 방향성 period=29, threshold=21 |
4.3% | -46.3% | 0.31 | 0.09 | 3.1x | 86 | 15% |
| MACD fast=16, slow=42, signal=19 |
-2.9% | -90.0% | 0.12 | -0.03 | 0.5x | 287 | 55% |
| Buy and hold | -5.0% | -99.4% | 0.19 | -0.05 | 0.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 75 days
- Sell — Sell when price breaks below the lowest low of the last 34 days