Trend-Following Backtester · Guide · backtest 한국어
equity · DE
JOST Werke SE backtest
10 trend-following strategies were compared on the full daily history of JOST Werke SE. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.2%, drawdown -57.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.1%, MDD -14.7%, Sharpe 0.72, 8% exposure.
CAGR reference leader: Supertrend — CAGR 7.1%, MDD -48.4%, exposure 54%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=21, mult=3 |
6.1% | -14.7% | 0.72 | 0.41 | 1.7x | 10 | 8% |
| Supertrend period=15, mult=2.8 |
7.1% | -48.4% | 0.40 | 0.15 | 1.9x | 69 | 54% |
| ADX / DI 방향성 period=25, threshold=38 |
1.6% | -15.2% | 0.35 | 0.10 | 1.1x | 4 | 3% |
| 볼린저 밴드 돌파 n=34, k=3.3 |
2.5% | -19.5% | 0.34 | 0.13 | 1.2x | 4 | 5% |
| ROC 모멘텀 n=59, threshold=0.11 |
3.1% | -28.9% | 0.27 | 0.11 | 1.3x | 72 | 26% |
| SMA 크로스오버 fast=32, slow=54 |
2.3% | -47.5% | 0.21 | 0.05 | 1.2x | 58 | 52% |
| Donchian 채널 돌파 entryN=22, exitN=16 |
2.3% | -53.8% | 0.21 | 0.04 | 1.2x | 53 | 48% |
| MACD fast=13, slow=52, signal=13 |
2.2% | -58.6% | 0.21 | 0.04 | 1.2x | 119 | 50% |
| Parabolic SAR step=0.015, maxStep=0.36 |
2.0% | -51.2% | 0.20 | 0.04 | 1.2x | 161 | 54% |
| EMA 크로스오버 fast=31, slow=37 |
-0.6% | -50.3% | 0.09 | -0.01 | 0.9x | 45 | 50% |
| Buy and hold | 8.2% | -57.5% | 0.40 | 0.14 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 14-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average