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. 5 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
5 of 10 beat buy and hold (CAGR 3.4%, drawdown -60.0%).
Sharpe leader (same as main): Supertrend — CAGR 7.9%, MDD -30.8%, Sharpe 0.49, 57% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 29.1%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=31, mult=5 |
7.9% | -30.8% | 0.49 | 0.26 | 4.1x | 48 | 57% |
| ADX / DI 방향성 period=25, threshold=29 |
3.5% | -25.8% | 0.43 | 0.14 | 1.9x | 28 | 9% |
| Donchian 채널 돌파 entryN=47, exitN=77 |
6.7% | -40.9% | 0.41 | 0.16 | 3.4x | 27 | 63% |
| EMA 크로스오버 fast=53, slow=59 |
6.5% | -44.7% | 0.41 | 0.15 | 3.2x | 36 | 56% |
| SMA 크로스오버 fast=28, slow=108 |
6.4% | -36.1% | 0.40 | 0.18 | 3.1x | 40 | 55% |
| 볼린저 밴드 돌파 n=20, k=2.8 |
3.0% | -30.6% | 0.32 | 0.10 | 1.7x | 64 | 18% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=2.9 |
2.8% | -40.6% | 0.26 | 0.07 | 1.7x | 65 | 33% |
| ROC 모멘텀 n=126, threshold=-0.04 |
3.2% | -49.0% | 0.25 | 0.07 | 1.8x | 141 | 64% |
| MACD fast=18, slow=24, signal=7 |
-2.3% | -58.3% | -0.03 | -0.04 | 0.7x | 317 | 48% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-3.8% | -65.2% | -0.10 | -0.06 | 0.5x | 219 | 52% |
| Buy and hold | 3.4% | -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) — 31-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)