Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Suedzucker AG backtest
10 trend-following strategies were compared on the full daily history of Suedzucker AG. 7 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 0.8%, MDD -19.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.6%, drawdown -73.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.8%, MDD -19.5%, Sharpe 0.16, 4% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 0.8%, MDD -19.5%, exposure 4%).
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=12, k=2.9 |
0.8% | -19.5% | 0.16 | 0.04 | 1.3x | 44 | 4% |
| Donchian 채널 돌파 entryN=25, exitN=50 |
0.7% | -75.1% | 0.14 | 0.01 | 1.2x | 89 | 60% |
| SMA 크로스오버 fast=80, slow=223 |
0.5% | -56.3% | 0.13 | 0.01 | 1.1x | 43 | 49% |
| Supertrend period=27, mult=2.2 |
0.2% | -59.3% | 0.11 | 0.00 | 1.1x | 287 | 49% |
| MACD fast=18, slow=45, signal=16 |
-0.0% | -68.0% | 0.10 | -0.00 | 1.0x | 313 | 52% |
| EMA 크로스오버 fast=8, slow=42 |
-0.1% | -56.0% | 0.10 | -0.00 | 1.0x | 203 | 51% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-0.5% | -71.1% | 0.08 | -0.01 | 0.9x | 477 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=1.4 |
-1.2% | -58.4% | 0.02 | -0.02 | 0.7x | 197 | 39% |
| ROC 모멘텀 n=42, threshold=-0.04 |
-3.5% | -78.6% | -0.04 | -0.04 | 0.4x | 371 | 64% |
| ADX / DI 방향성 period=10, threshold=17 |
-4.4% | -81.7% | -0.14 | -0.05 | 0.3x | 635 | 43% |
| Buy and hold | -0.6% | -73.6% | 0.13 | -0.01 | 0.8x | 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 12-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 12-day middle average