Trend-Following Backtester · Guide · backtest 한국어
equity · DE
HOCHTIEF Aktiengesellschaft backtest
10 trend-following strategies were compared on the full daily history of HOCHTIEF Aktiengesellschaft. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.1%, MDD -42.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.8%, drawdown -79.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.8%, MDD -42.7%, Sharpe 0.73, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 14.1%, MDD -42.5%, 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=71, slow=191 |
15.8% | -42.7% | 0.73 | 0.37 | 61.6x | 19 | 53% |
| Donchian 채널 돌파 entryN=107, exitN=60 |
14.1% | -42.5% | 0.69 | 0.33 | 39.9x | 32 | 50% |
| SMA 크로스오버 fast=14, slow=169 |
13.9% | -61.9% | 0.64 | 0.22 | 38.6x | 61 | 59% |
| ROC 모멘텀 n=165, threshold=0.13 |
12.5% | -53.7% | 0.64 | 0.23 | 27.2x | 133 | 44% |
| 볼린저 밴드 돌파 n=51, k=1.9 |
9.3% | -53.0% | 0.53 | 0.18 | 12.2x | 126 | 39% |
| Supertrend period=17, mult=4.8 |
9.8% | -59.7% | 0.48 | 0.16 | 13.7x | 88 | 60% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=23, mult=1.8 |
6.5% | -49.8% | 0.40 | 0.13 | 5.8x | 170 | 43% |
| Parabolic SAR step=0.005, maxStep=0.32 |
6.1% | -59.2% | 0.35 | 0.10 | 5.2x | 250 | 55% |
| ADX / DI 방향성 period=26, threshold=24 |
3.8% | -35.8% | 0.35 | 0.11 | 2.8x | 66 | 14% |
| MACD fast=17, slow=30, signal=14 |
3.9% | -68.6% | 0.28 | 0.06 | 2.9x | 402 | 51% |
| Buy and hold | 8.8% | -79.0% | 0.41 | 0.11 | 10.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 71-day EMA crosses above the 191-day EMA
- Sell — Sell when the 71-day EMA falls below the 191-day EMA