Trend-Following Backtester · Guide · backtest 한국어

equity · DE

Volkswagen AG backtest

10 trend-following strategies were compared on the full daily history of Volkswagen AG. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.0%, MDD -46.1%).

Data 1995-03-24 ~ 2026-07-31daily bars 8,038 (31.4 years)Costs 0.5%Venue XETRMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR 4.8%, drawdown -88.0%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.0%, MDD -46.1%, Sharpe 0.47, 23% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 9.1%, MDD -55.4%, exposure 38%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 7.0%, MDD -46.1%, exposure 23%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=48, atrPeriod=13, mult=3.9
7.0%-46.1%0.470.158.4x7223%
Donchian 채널 돌파
entryN=85, exitN=39
9.1%-55.4%0.370.1615.2x5638%
볼린저 밴드 돌파
n=52, k=2.4
4.5%-65.1%0.330.074.0x8826%
EMA 크로스오버
fast=45, slow=66
6.4%-78.8%0.310.087.1x8654%
SMA 크로스오버
fast=43, slow=90
6.4%-73.9%0.310.096.9x10054%
Parabolic SAR
step=0.02, maxStep=0.06
4.7%-79.3%0.300.064.2x44553%
ROC 모멘텀
n=133, threshold=-0.01
6.3%-65.6%0.300.106.7x21056%
ADX / DI 방향성
period=28, threshold=24
6.4%-51.0%0.300.137.0x5813%
Supertrend
period=23, mult=4.1
1.7%-90.3%0.190.021.7x15052%
MACD
fast=11, slow=49, signal=17
0.2%-88.8%0.130.001.1x39351%
Buy and hold4.8%-88.0%0.290.054.3x1100%
1x 10x 1996 2000 2004 2008 2012 2016 2020 2024 Donchian 채널 돌파Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -22% -44% -66% -88% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdDonchian 채널 돌파Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -46.1% (2021-03-18 → 2026-01-19), prior peak not yet recovered.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next