Trend-Following Backtester · Guide · backtest 한국어
equity · DE
FUCHS SE backtest
10 trend-following strategies were compared on the full daily history of FUCHS SE. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.4%, MDD -30.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -67.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -30.4%, Sharpe 0.60, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 37.2%p (CAGR 10.4%, MDD -30.4%, exposure 55%).
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=60, exitN=40 |
10.4% | -30.4% | 0.60 | 0.34 | 15.2x | 61 | 55% |
| EMA 크로스오버 fast=26, slow=89 |
9.6% | -54.1% | 0.54 | 0.18 | 12.4x | 69 | 59% |
| SMA 크로스오버 fast=24, slow=97 |
9.5% | -55.4% | 0.53 | 0.17 | 12.2x | 77 | 59% |
| ROC 모멘텀 n=128, threshold=-0.12 |
8.5% | -68.8% | 0.45 | 0.12 | 9.5x | 135 | 83% |
| Supertrend period=9, mult=5 |
6.4% | -54.3% | 0.41 | 0.12 | 5.5x | 109 | 53% |
| 볼린저 밴드 돌파 n=53, k=2.1 |
5.4% | -50.9% | 0.41 | 0.11 | 4.2x | 99 | 34% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=17, mult=3.3 |
3.5% | -40.8% | 0.30 | 0.08 | 2.6x | 96 | 30% |
| MACD fast=23, slow=50, signal=21 |
2.5% | -58.1% | 0.22 | 0.04 | 2.0x | 261 | 52% |
| ADX / DI 방향성 period=29, threshold=30 |
1.0% | -26.3% | 0.19 | 0.04 | 1.3x | 22 | 4% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.7% | -65.0% | 0.14 | 0.01 | 1.2x | 221 | 53% |
| Buy and hold | 12.0% | -67.6% | 0.53 | 0.18 | 22.6x | 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 60 days
- Sell — Sell when price breaks below the lowest low of the last 40 days