Trend-Following Backtester · Guide · backtest 한국어
equity · DE
tonies SE Class A backtest
10 trend-following strategies were compared on the full daily history of tonies SE Class A. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.3%, MDD -11.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.8%, drawdown -71.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.1%, MDD -26.2%, Sharpe 0.85, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.9%, MDD -28.2%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 7.3%, MDD -11.0%, exposure 7%).
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=46, k=3 |
14.1% | -26.2% | 0.85 | 0.54 | 2.0x | 10 | 21% |
| SMA 크로스오버 fast=30, slow=52 |
17.9% | -28.2% | 0.71 | 0.63 | 2.4x | 34 | 53% |
| ADX / DI 방향성 period=32, threshold=31 |
7.3% | -11.0% | 0.70 | 0.66 | 1.5x | 2 | 7% |
| Donchian 채널 돌파 entryN=26, exitN=63 |
16.1% | -32.8% | 0.61 | 0.49 | 2.2x | 7 | 74% |
| EMA 크로스오버 fast=49, slow=196 |
10.7% | -33.3% | 0.58 | 0.32 | 1.7x | 3 | 35% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=26, mult=4 |
3.7% | -13.9% | 0.44 | 0.26 | 1.2x | 4 | 6% |
| ROC 모멘텀 n=38, threshold=0.08 |
7.2% | -38.3% | 0.42 | 0.19 | 1.4x | 70 | 28% |
| Supertrend period=14, mult=5 |
7.7% | -44.2% | 0.39 | 0.18 | 1.5x | 13 | 72% |
| MACD fast=21, slow=53, signal=20 |
1.4% | -52.4% | 0.19 | 0.03 | 1.1x | 44 | 48% |
| Parabolic SAR step=0.02, maxStep=0.06 |
-1.9% | -61.9% | 0.06 | -0.03 | 0.9x | 86 | 50% |
| Buy and hold | 3.8% | -71.8% | 0.29 | 0.05 | 1.2x | 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 46-day average (3× volatility)
- Sell — Sell when the close falls back to the 46-day middle average