Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Kuehne & Nagel International AG backtest
10 trend-following strategies were compared on the full daily history of Kuehne & Nagel International AG. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.3%, MDD -38.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -58.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.3%, MDD -21.1%, Sharpe 0.55, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.3%, MDD -38.8%, exposure 59%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.7%p lower than buy and hold, while drawdown improves by 37.9%p (CAGR 8.3%, MDD -38.8%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=50, threshold=19 |
4.3% | -21.1% | 0.55 | 0.21 | 3.0x | 18 | 11% |
| SMA 크로스오버 fast=15, slow=168 |
8.3% | -38.8% | 0.52 | 0.21 | 8.1x | 57 | 59% |
| Donchian 채널 돌파 entryN=48, exitN=64 |
8.0% | -43.8% | 0.48 | 0.18 | 7.5x | 49 | 66% |
| EMA 크로스오버 fast=30, slow=145 |
7.3% | -45.2% | 0.46 | 0.16 | 6.3x | 51 | 61% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
3.3% | -20.7% | 0.43 | 0.16 | 2.3x | 30 | 13% |
| Supertrend period=25, mult=3.9 |
6.4% | -60.8% | 0.41 | 0.11 | 5.1x | 105 | 60% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=17, mult=3.2 |
4.9% | -37.7% | 0.41 | 0.13 | 3.5x | 73 | 33% |
| ROC 모멘텀 n=127, threshold=0.01 |
4.8% | -52.9% | 0.34 | 0.09 | 3.4x | 207 | 57% |
| MACD fast=18, slow=51, signal=31 |
0.1% | -47.0% | 0.10 | 0.00 | 1.0x | 233 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.3% | -86.4% | -0.07 | -0.04 | 0.4x | 219 | 54% |
| Buy and hold | 10.0% | -58.9% | 0.47 | 0.17 | 12.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 50-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)