Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Stroeer SE & Co. KGaA backtest
10 trend-following strategies were compared on the full daily history of Stroeer SE & Co. KGaA. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.4%, MDD -15.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.5%, drawdown -76.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.8%, MDD -26.2%, Sharpe 0.69, 36% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.6%, MDD -48.8%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 50.5%p (CAGR 4.4%, MDD -15.6%, exposure 9%).
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=120, exitN=38 |
11.8% | -26.2% | 0.69 | 0.45 | 5.9x | 20 | 36% |
| SMA 크로스오버 fast=48, slow=95 |
13.6% | -48.8% | 0.67 | 0.28 | 7.7x | 35 | 50% |
| Supertrend period=10, mult=4.9 |
12.0% | -49.0% | 0.61 | 0.25 | 6.2x | 43 | 50% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
7.9% | -37.3% | 0.53 | 0.21 | 3.4x | 38 | 27% |
| ADX / DI 방향성 period=49, threshold=22 |
4.4% | -15.6% | 0.52 | 0.28 | 2.0x | 14 | 9% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=20, mult=1.2 |
8.1% | -50.3% | 0.48 | 0.16 | 3.5x | 109 | 41% |
| ROC 모멘텀 n=99, threshold=0.02 |
8.4% | -51.5% | 0.48 | 0.16 | 3.6x | 135 | 48% |
| EMA 크로스오버 fast=32, slow=208 |
8.3% | -52.5% | 0.47 | 0.16 | 3.6x | 18 | 46% |
| Parabolic SAR step=0.01, maxStep=0.12 |
0.5% | -63.0% | 0.14 | 0.01 | 1.1x | 191 | 49% |
| MACD fast=7, slow=39, signal=9 |
-4.2% | -78.1% | -0.06 | -0.05 | 0.5x | 363 | 50% |
| Buy and hold | 4.5% | -76.7% | 0.30 | 0.06 | 2.0x | 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 120 days
- Sell — Sell when price breaks below the lowest low of the last 38 days