Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Schaeffler AG backtest
10 trend-following strategies were compared on the full daily history of Schaeffler AG. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.5%, MDD -10.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.6%, drawdown -81.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -18.0%, Sharpe 0.30, 2% exposure.
CAGR reference leader: Supertrend — CAGR 3.7%, MDD -60.1%, exposure 48%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 63.3%p (CAGR 0.5%, MDD -10.2%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=38 |
1.6% | -18.0% | 0.30 | 0.09 | 1.2x | 6 | 2% |
| Supertrend period=27, mult=2.3 |
3.7% | -60.1% | 0.27 | 0.06 | 1.5x | 102 | 48% |
| Donchian 채널 돌파 entryN=88, exitN=28 |
2.5% | -41.6% | 0.23 | 0.06 | 1.3x | 18 | 26% |
| SMA 크로스오버 fast=33, slow=131 |
2.0% | -50.4% | 0.20 | 0.04 | 1.2x | 22 | 37% |
| MACD fast=26, slow=69, signal=24 |
1.2% | -57.0% | 0.18 | 0.02 | 1.1x | 86 | 49% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=10, mult=4 |
0.5% | -10.2% | 0.14 | 0.05 | 1.1x | 2 | 0% |
| ROC 모멘텀 n=103, threshold=0.07 |
0.1% | -46.3% | 0.12 | 0.00 | 1.0x | 70 | 30% |
| EMA 크로스오버 fast=16, slow=185 |
-0.9% | -49.8% | 0.08 | -0.02 | 0.9x | 22 | 39% |
| 볼린저 밴드 돌파 n=47, k=2.3 |
-0.4% | -45.0% | 0.07 | -0.01 | 1.0x | 36 | 24% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.8% | -79.5% | -0.06 | -0.06 | 0.6x | 96 | 46% |
| Buy and hold | -5.6% | -81.3% | 0.05 | -0.07 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)