Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Friedrich Vorwerk Group SE backtest
10 trend-following strategies were compared on the full daily history of Friedrich Vorwerk Group SE. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.8%, MDD -11.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.4%, drawdown -82.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 38.3%, MDD -37.2%, Sharpe 1.19, 43% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 39.9%, MDD -37.2%, exposure 45%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 28.9%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 22.8%, MDD -11.8%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=31, slow=264 |
38.3% | -37.2% | 1.19 | 1.03 | 5.8x | 2 | 43% |
| EMA 크로스오버 fast=67, slow=96 |
39.2% | -29.7% | 1.18 | 1.32 | 6.0x | 2 | 44% |
| ROC 모멘텀 n=185, threshold=-0.01 |
39.9% | -37.2% | 1.18 | 1.07 | 6.2x | 8 | 45% |
| 볼린저 밴드 돌파 n=13, k=2.6 |
22.8% | -11.8% | 1.11 | 1.94 | 3.1x | 20 | 13% |
| Donchian 채널 돌파 entryN=62, exitN=39 |
29.8% | -44.4% | 0.97 | 0.67 | 4.1x | 6 | 47% |
| Parabolic SAR step=0.015, maxStep=0.12 |
16.1% | -53.6% | 0.60 | 0.30 | 2.2x | 91 | 51% |
| MACD fast=18, slow=36, signal=7 |
13.5% | -47.6% | 0.54 | 0.28 | 2.0x | 87 | 48% |
| Supertrend period=9, mult=4.6 |
13.4% | -55.0% | 0.53 | 0.24 | 2.0x | 19 | 57% |
| ADX / DI 방향성 period=12, threshold=14 |
12.9% | -42.1% | 0.52 | 0.31 | 1.9x | 111 | 51% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=28, mult=2.1 |
9.8% | -42.0% | 0.50 | 0.23 | 1.7x | 32 | 26% |
| Buy and hold | 9.4% | -82.8% | 0.44 | 0.11 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 31-day average price crosses above the 264-day average
- Sell — Sell (to cash) when the 31-day average falls below the 264-day average