Trend-Following Backtester · Guide · backtest 한국어
equity · DE
adidas AG backtest
10 trend-following strategies were compared on the full daily history of adidas AG. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.0%, MDD -47.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.0%, drawdown -72.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.7%, MDD -48.2%, Sharpe 0.44, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 23.9%p (CAGR 6.0%, MDD -47.0%, exposure 63%).
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=79, exitN=96 |
7.7% | -48.2% | 0.44 | 0.16 | 8.1x | 29 | 69% |
| SMA 크로스오버 fast=56, slow=205 |
7.2% | -49.2% | 0.42 | 0.15 | 7.1x | 29 | 65% |
| EMA 크로스오버 fast=12, slow=214 |
6.0% | -47.0% | 0.38 | 0.13 | 5.2x | 57 | 63% |
| ROC 모멘텀 n=125, threshold=-0.09 |
6.6% | -62.6% | 0.38 | 0.11 | 6.0x | 149 | 78% |
| Supertrend period=7, mult=4.7 |
1.4% | -50.8% | 0.17 | 0.03 | 1.5x | 106 | 52% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
0.0% | -16.9% | 0.03 | 0.00 | 1.0x | 12 | 3% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=8, mult=2.7 |
-1.3% | -50.7% | -0.03 | -0.03 | 0.7x | 126 | 25% |
| ADX / DI 방향성 period=23, threshold=31 |
-0.3% | -21.3% | -0.04 | -0.01 | 0.9x | 24 | 4% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.1% | -82.7% | -0.08 | -0.05 | 0.3x | 254 | 55% |
| MACD fast=14, slow=35, signal=24 |
-4.8% | -82.4% | -0.12 | -0.06 | 0.3x | 354 | 52% |
| Buy and hold | 5.0% | -72.1% | 0.31 | 0.07 | 3.9x | 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 79 days
- Sell — Sell when price breaks below the lowest low of the last 96 days