Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Heidelberger Druckmaschinen AG backtest
10 trend-following strategies were compared on the full daily history of Heidelberger Druckmaschinen AG. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -47.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.8%, drawdown -99.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.0%, MDD -61.8%, Sharpe 0.24, 38% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.8%p higher than buy and hold, while drawdown improves by 37.2%p (CAGR 1.4%, MDD -47.5%, exposure 6%).
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=104, exitN=66 |
3.0% | -61.8% | 0.24 | 0.05 | 2.3x | 32 | 38% |
| ROC 모멘텀 n=90, threshold=0.03 |
1.3% | -79.0% | 0.19 | 0.02 | 1.4x | 250 | 40% |
| SMA 크로스오버 fast=58, slow=182 |
1.1% | -61.3% | 0.18 | 0.02 | 1.4x | 44 | 43% |
| EMA 크로스오버 fast=48, slow=101 |
1.0% | -69.3% | 0.18 | 0.01 | 1.3x | 54 | 41% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=1.2 |
0.9% | -57.3% | 0.17 | 0.02 | 1.3x | 190 | 35% |
| ADX / DI 방향성 period=33, threshold=23 |
1.4% | -47.5% | 0.16 | 0.03 | 1.5x | 24 | 6% |
| 볼린저 밴드 돌파 n=58, k=2.8 |
-0.3% | -48.7% | 0.09 | -0.01 | 0.9x | 58 | 18% |
| Supertrend period=17, mult=4.5 |
-2.2% | -85.4% | 0.08 | -0.03 | 0.5x | 94 | 42% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-4.3% | -87.3% | 0.03 | -0.05 | 0.3x | 448 | 47% |
| MACD fast=12, slow=46, signal=10 |
-5.1% | -92.4% | 0.02 | -0.06 | 0.2x | 455 | 50% |
| Buy and hold | -11.8% | -99.0% | -0.03 | -0.12 | 0.0x | 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 104 days
- Sell — Sell when price breaks below the lowest low of the last 66 days