Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Kloeckner & Co SE backtest
10 trend-following strategies were compared on the full daily history of Kloeckner & Co SE. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.9%, MDD -22.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.2%, drawdown -94.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.9%, MDD -52.4%, Sharpe 0.50, 15% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.7%, MDD -78.3%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 42.1%p (CAGR 4.9%, MDD -22.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=34, k=2.9 |
7.9% | -52.4% | 0.50 | 0.15 | 4.6x | 38 | 15% |
| ADX / DI 방향성 period=26, threshold=28 |
4.9% | -22.2% | 0.47 | 0.22 | 2.6x | 14 | 6% |
| EMA 크로스오버 fast=39, slow=42 |
8.7% | -78.3% | 0.43 | 0.11 | 5.4x | 75 | 50% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=32, mult=3 |
6.2% | -47.6% | 0.41 | 0.13 | 3.3x | 58 | 17% |
| Supertrend period=18, mult=4.8 |
6.9% | -84.0% | 0.37 | 0.08 | 3.8x | 67 | 50% |
| ROC 모멘텀 n=53, threshold=-0.08 |
7.0% | -73.9% | 0.37 | 0.09 | 3.9x | 213 | 69% |
| Donchian 채널 돌파 entryN=25, exitN=43 |
6.8% | -76.3% | 0.36 | 0.09 | 3.8x | 69 | 59% |
| SMA 크로스오버 fast=28, slow=121 |
6.2% | -66.1% | 0.35 | 0.09 | 3.3x | 43 | 49% |
| MACD fast=15, slow=27, signal=9 |
3.2% | -73.7% | 0.26 | 0.04 | 1.9x | 329 | 49% |
| Parabolic SAR step=0.045, maxStep=0.12 |
-3.4% | -91.2% | 0.05 | -0.04 | 0.5x | 550 | 50% |
| Buy and hold | 0.2% | -94.5% | 0.24 | 0.00 | 1.1x | 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 34-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 34-day middle average