Trend-Following Backtester · Guide · backtest 한국어
equity · AT
Erste Group Bank AG backtest
10 trend-following strategies were compared on the full daily history of Erste Group Bank AG. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.1%, MDD -42.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.3%, drawdown -88.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.4%, MDD -49.6%, Sharpe 0.64, 78% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 11.1%, MDD -42.6%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=40, exitN=82 |
15.4% | -49.6% | 0.64 | 0.31 | 45.9x | 39 | 78% |
| SMA 크로스오버 fast=44, slow=208 |
13.5% | -56.5% | 0.64 | 0.24 | 29.2x | 29 | 64% |
| EMA 크로스오버 fast=45, slow=167 |
11.9% | -44.8% | 0.58 | 0.26 | 19.8x | 27 | 66% |
| Supertrend period=22, mult=4.8 |
11.1% | -42.6% | 0.56 | 0.26 | 16.6x | 79 | 60% |
| ROC 모멘텀 n=147, threshold=-0.01 |
8.5% | -61.8% | 0.46 | 0.14 | 8.7x | 197 | 67% |
| 볼린저 밴드 돌파 n=48, k=2.7 |
5.7% | -58.1% | 0.44 | 0.10 | 4.4x | 75 | 29% |
| Parabolic SAR step=0.015, maxStep=0.02 |
6.9% | -56.7% | 0.39 | 0.12 | 5.8x | 153 | 61% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=23, mult=1.3 |
6.1% | -66.0% | 0.38 | 0.09 | 4.9x | 213 | 50% |
| ADX / DI 방향성 period=33, threshold=16 |
3.0% | -46.2% | 0.26 | 0.07 | 2.2x | 126 | 24% |
| MACD fast=15, slow=41, signal=15 |
-1.2% | -82.5% | 0.09 | -0.02 | 0.7x | 355 | 52% |
| Buy and hold | 9.3% | -88.6% | 0.42 | 0.10 | 10.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 40 days
- Sell — Sell when price breaks below the lowest low of the last 82 days