Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Sixt SE backtest
10 trend-following strategies were compared on the full daily history of Sixt SE. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.0%, MDD -23.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.4%, drawdown -92.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.0%, MDD -23.2%, Sharpe 0.60, 19% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.3%, MDD -50.0%, exposure 44%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 68.8%p (CAGR 9.0%, MDD -23.2%, exposure 19%).
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=71, k=2.9 |
9.0% | -23.2% | 0.60 | 0.39 | 10.8x | 30 | 19% |
| Donchian 채널 돌파 entryN=76, exitN=45 |
11.3% | -50.0% | 0.57 | 0.23 | 19.3x | 52 | 44% |
| EMA 크로스오버 fast=25, slow=80 |
10.2% | -58.4% | 0.50 | 0.17 | 14.8x | 69 | 54% |
| Supertrend period=23, mult=4.7 |
9.4% | -56.2% | 0.47 | 0.17 | 12.2x | 90 | 50% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=13, mult=1.7 |
8.3% | -46.0% | 0.46 | 0.18 | 9.2x | 142 | 41% |
| SMA 크로스오버 fast=9, slow=210 |
8.3% | -58.8% | 0.43 | 0.14 | 9.0x | 63 | 54% |
| ROC 모멘텀 n=149, threshold=-0.03 |
6.9% | -63.9% | 0.38 | 0.11 | 6.3x | 147 | 57% |
| ADX / DI 방향성 period=13, threshold=31 |
4.1% | -42.9% | 0.33 | 0.10 | 3.0x | 156 | 15% |
| MACD fast=16, slow=57, signal=23 |
4.9% | -62.7% | 0.31 | 0.08 | 3.8x | 267 | 51% |
| Parabolic SAR step=0.02, maxStep=0.08 |
3.9% | -69.1% | 0.27 | 0.06 | 2.9x | 453 | 51% |
| Buy and hold | 3.4% | -92.0% | 0.29 | 0.04 | 2.5x | 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 71-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 71-day middle average