Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Fresenius SE & Co. KGaA backtest
10 trend-following strategies were compared on the full daily history of Fresenius SE & Co. KGaA. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.9%, MDD -55.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.3%, drawdown -93.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.0%, MDD -56.1%, Sharpe 0.45, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 3.9%, MDD -55.3%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=55, slow=209 |
8.0% | -56.1% | 0.45 | 0.14 | 8.4x | 24 | 60% |
| SMA 크로스오버 fast=57, slow=147 |
6.9% | -73.0% | 0.44 | 0.10 | 6.4x | 42 | 60% |
| ADX / DI 방향성 period=21, threshold=37 |
1.4% | -12.8% | 0.31 | 0.11 | 1.5x | 14 | 3% |
| Donchian 채널 돌파 entryN=111, exitN=79 |
3.9% | -55.3% | 0.30 | 0.07 | 2.9x | 32 | 50% |
| ROC 모멘텀 n=110, threshold=0 |
3.6% | -58.4% | 0.28 | 0.06 | 2.7x | 242 | 61% |
| Supertrend period=13, mult=4.6 |
-0.2% | -76.5% | 0.11 | -0.00 | 1.0x | 107 | 60% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=10, mult=3.3 |
-0.8% | -69.7% | 0.04 | -0.01 | 0.8x | 80 | 39% |
| 볼린저 밴드 돌파 n=42, k=3.3 |
-0.2% | -37.1% | 0.03 | -0.01 | 0.9x | 18 | 6% |
| MACD fast=16, slow=51, signal=21 |
-4.3% | -85.2% | -0.09 | -0.05 | 0.3x | 317 | 52% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-4.4% | -81.9% | -0.09 | -0.05 | 0.3x | 525 | 53% |
| Buy and hold | 2.3% | -93.0% | 0.24 | 0.03 | 1.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 209-day EMA
- Sell — Sell when the 55-day EMA falls below the 209-day EMA