Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Mutares SE & Co. KGaA backtest
10 trend-following strategies were compared on the full daily history of Mutares SE & Co. KGaA. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.8%, MDD -55.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.8%, drawdown -71.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.8%, MDD -55.3%, Sharpe 0.56, 34% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 16.5%p (CAGR 17.8%, MDD -55.3%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=75, exitN=10 |
17.8% | -55.3% | 0.56 | 0.32 | 19.6x | 52 | 34% |
| MACD fast=15, slow=51, signal=19 |
12.9% | -60.6% | 0.46 | 0.21 | 9.1x | 164 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=2 |
9.2% | -62.4% | 0.43 | 0.15 | 4.9x | 58 | 40% |
| ROC 모멘텀 n=64, threshold=-0.04 |
9.8% | -63.4% | 0.41 | 0.15 | 5.4x | 183 | 63% |
| Supertrend period=25, mult=4.7 |
7.8% | -81.8% | 0.39 | 0.10 | 3.9x | 57 | 50% |
| EMA 크로스오버 fast=19, slow=34 |
7.5% | -58.6% | 0.38 | 0.13 | 3.7x | 86 | 48% |
| 볼린저 밴드 돌파 n=21, k=1.4 |
6.0% | -85.8% | 0.35 | 0.07 | 2.9x | 134 | 41% |
| ADX / DI 방향성 period=18, threshold=20 |
6.2% | -77.0% | 0.35 | 0.08 | 3.0x | 110 | 34% |
| Parabolic SAR step=0.015, maxStep=0.12 |
4.9% | -78.2% | 0.32 | 0.06 | 2.4x | 200 | 52% |
| SMA 크로스오버 fast=8, slow=93 |
4.4% | -62.9% | 0.30 | 0.07 | 2.2x | 69 | 44% |
| Buy and hold | 19.8% | -71.8% | 0.57 | 0.28 | 26.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 75 days
- Sell — Sell when price breaks below the lowest low of the last 10 days