Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Hypoport SE backtest
10 trend-following strategies were compared on the full daily history of Hypoport SE. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.3%, MDD -34.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.4%, drawdown -88.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.3%, MDD -34.5%, Sharpe 0.83, 20% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.3%, MDD -51.9%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 54.0%p (CAGR 15.3%, MDD -34.5%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=41, k=3 |
15.3% | -34.5% | 0.83 | 0.44 | 14.5x | 40 | 20% |
| Donchian 채널 돌파 entryN=53, exitN=46 |
23.3% | -51.9% | 0.82 | 0.45 | 50.8x | 34 | 50% |
| SMA 크로스오버 fast=11, slow=119 |
21.3% | -53.5% | 0.75 | 0.40 | 37.5x | 49 | 53% |
| EMA 크로스오버 fast=53, slow=143 |
20.4% | -59.4% | 0.71 | 0.34 | 32.4x | 18 | 57% |
| ROC 모멘텀 n=68, threshold=0.04 |
18.4% | -52.2% | 0.69 | 0.35 | 23.8x | 168 | 47% |
| ADX / DI 방향성 period=34, threshold=31 |
6.5% | -17.3% | 0.67 | 0.38 | 3.3x | 10 | 4% |
| Parabolic SAR step=0.01, maxStep=0.16 |
15.7% | -60.2% | 0.61 | 0.26 | 15.5x | 216 | 49% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=8, mult=3.6 |
8.8% | -32.4% | 0.61 | 0.27 | 4.8x | 48 | 13% |
| MACD fast=14, slow=25, signal=18 |
14.9% | -61.1% | 0.59 | 0.24 | 13.6x | 250 | 52% |
| Supertrend period=12, mult=2.8 |
11.1% | -69.1% | 0.48 | 0.16 | 7.3x | 175 | 54% |
| Buy and hold | 9.4% | -88.5% | 0.43 | 0.11 | 5.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 41-day average (3× volatility)
- Sell — Sell when the close falls back to the 41-day middle average