Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Hannover Rueck SE backtest
10 trend-following strategies were compared on the full daily history of Hannover Rueck SE. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -63.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.0%, MDD -66.4%, Sharpe 0.40, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.14 |
8.0% | -66.4% | 0.40 | 0.12 | 7.2x | 11 | 100% |
| Donchian 채널 돌파 entryN=21, exitN=56 |
5.4% | -34.2% | 0.35 | 0.16 | 3.9x | 71 | 78% |
| ADX / DI 방향성 period=31, threshold=23 |
0.9% | -13.2% | 0.25 | 0.07 | 1.3x | 18 | 4% |
| SMA 크로스오버 fast=14, slow=35 |
2.7% | -38.6% | 0.23 | 0.07 | 2.0x | 205 | 58% |
| EMA 크로스오버 fast=40, slow=114 |
2.4% | -53.2% | 0.22 | 0.05 | 1.8x | 50 | 67% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=29, mult=3.6 |
0.6% | -15.8% | 0.20 | 0.04 | 1.2x | 12 | 3% |
| Supertrend period=19, mult=5 |
1.1% | -45.7% | 0.15 | 0.02 | 1.3x | 87 | 60% |
| 볼린저 밴드 돌파 n=54, k=2.8 |
0.5% | -25.4% | 0.10 | 0.02 | 1.1x | 48 | 18% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.9% | -65.9% | 0.06 | -0.01 | 0.8x | 229 | 57% |
| MACD fast=23, slow=40, signal=22 |
-2.3% | -67.2% | -0.03 | -0.03 | 0.6x | 275 | 50% |
| Buy and hold | 8.5% | -63.5% | 0.42 | 0.13 | 8.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -14%
- Sell — Sell when the 1-day return drops to -14% or below