Trend-Following Backtester · Guide · backtest 한국어
equity · DE
KWS SAAT SE & Co KGaA backtest
10 trend-following strategies were compared on the full daily history of KWS SAAT SE & Co KGaA. 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 9.9%, drawdown -59.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.7%, MDD -61.9%, Sharpe 0.45, 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=-0.15 |
9.7% | -61.9% | 0.45 | 0.16 | 11.1x | 3 | 100% |
| Donchian 채널 돌파 Hold-like · Exposure 98% entryN=2, exitN=166 |
9.5% | -55.8% | 0.44 | 0.17 | 10.5x | 49 | 98% |
| SMA 크로스오버 fast=25, slow=58 |
5.6% | -37.9% | 0.38 | 0.15 | 4.1x | 109 | 50% |
| Supertrend period=24, mult=4.8 |
5.0% | -44.6% | 0.31 | 0.11 | 3.6x | 64 | 58% |
| EMA 크로스오버 fast=46, slow=210 |
4.4% | -52.2% | 0.29 | 0.09 | 3.1x | 41 | 70% |
| 볼린저 밴드 돌파 n=84, k=3 |
2.5% | -23.2% | 0.27 | 0.11 | 1.9x | 32 | 21% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=19, mult=2.7 |
1.8% | -35.2% | 0.20 | 0.05 | 1.6x | 76 | 27% |
| ADX / DI 방향성 period=19, threshold=28 |
1.0% | -21.5% | 0.16 | 0.05 | 1.3x | 58 | 12% |
| MACD fast=21, slow=58, signal=18 |
-0.3% | -74.9% | 0.08 | -0.00 | 0.9x | 235 | 46% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-1.2% | -78.7% | 0.05 | -0.02 | 0.7x | 181 | 58% |
| Buy and hold | 9.9% | -59.9% | 0.45 | 0.17 | 11.7x | 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 -15%
- Sell — Sell when the 1-day return drops to -15% or below