Trend-Following Backtester · Guide · backtest 한국어
equity · DE
HORNBACH Holding AG & Co. KGaA backtest
10 trend-following strategies were compared on the full daily history of HORNBACH Holding AG & Co. KGaA. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.5%, MDD -25.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.6%, drawdown -60.0%).
Sharpe leader (same as main): Supertrend — CAGR 8.6%, MDD -30.3%, Sharpe 0.51, 61% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 3.5%, MDD -25.8%, exposure 9%).
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=21, mult=4.9 |
8.6% | -30.3% | 0.51 | 0.28 | 4.7x | 47 | 61% |
| ADX / DI 방향성 period=25, threshold=29 |
3.5% | -25.8% | 0.42 | 0.13 | 1.9x | 28 | 9% |
| Donchian 채널 돌파 entryN=58, exitN=50 |
6.6% | -43.4% | 0.42 | 0.15 | 3.3x | 33 | 53% |
| SMA 크로스오버 fast=25, slow=99 |
6.5% | -33.3% | 0.41 | 0.20 | 3.3x | 49 | 55% |
| 볼린저 밴드 돌파 n=63, k=1.7 |
5.4% | -38.0% | 0.40 | 0.14 | 2.7x | 63 | 40% |
| EMA 크로스오버 fast=43, slow=78 |
6.4% | -43.0% | 0.40 | 0.15 | 3.2x | 33 | 57% |
| ROC 모멘텀 n=170, threshold=-0.11 |
6.8% | -51.9% | 0.39 | 0.13 | 3.5x | 53 | 75% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=23, mult=2.9 |
2.1% | -41.9% | 0.22 | 0.05 | 1.5x | 68 | 33% |
| MACD fast=10, slow=30, signal=13 |
-3.5% | -65.2% | -0.09 | -0.05 | 0.5x | 303 | 48% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-4.0% | -66.4% | -0.11 | -0.06 | 0.5x | 221 | 52% |
| Buy and hold | 3.6% | -60.0% | 0.26 | 0.06 | 1.9x | 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) — 21-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)