Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Mahle-Metal Leve S.A. backtest
10 trend-following strategies were compared on the full daily history of Mahle-Metal Leve S.A.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.6%, MDD -25.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -54.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -44.1%, Sharpe 0.22, 67% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 10.7%p (CAGR 8.6%, MDD -25.5%, exposure 29%).
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=74, exitN=67 |
8.7% | -44.1% | 0.22 | 0.20 | 9.2x | 32 | 67% |
| MACD fast=17, slow=49, signal=15 |
7.5% | -67.4% | 0.21 | 0.11 | 6.8x | 190 | 53% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=12, mult=4 |
8.6% | -25.5% | 0.21 | 0.34 | 9.0x | 22 | 29% |
| ROC 모멘텀 n=146, threshold=-0.02 |
4.3% | -73.8% | 0.18 | 0.06 | 3.1x | 196 | 67% |
| SMA 크로스오버 fast=54, slow=193 |
0.9% | -66.3% | 0.15 | 0.01 | 1.3x | 26 | 34% |
| ADX / DI 방향성 period=33, threshold=17 |
0.9% | -39.0% | 0.14 | 0.02 | 1.3x | 54 | 29% |
| EMA 크로스오버 fast=13, slow=143 |
0.5% | -46.5% | 0.12 | 0.01 | 1.1x | 54 | 45% |
| 볼린저 밴드 돌파 n=55, k=1.8 |
-0.0% | -58.6% | 0.08 | -0.00 | 1.0x | 76 | 37% |
| Supertrend period=16, mult=5 |
-0.8% | -57.1% | 0.05 | -0.01 | 0.8x | 56 | 47% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-8.0% | -89.6% | -0.36 | -0.09 | 0.1x | 344 | 48% |
| Buy and hold | 8.9% | -54.7% | 0.23 | 0.16 | 9.6x | 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 74 days
- Sell — Sell when price breaks below the lowest low of the last 67 days