Trend-Following Backtester · Guide · backtest 한국어
equity · DE
AUTO1 Group SE backtest
10 trend-following strategies were compared on the full daily history of AUTO1 Group SE. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 20.9%, MDD -22.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.0%, drawdown -93.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 29.8%, MDD -31.6%, Sharpe 0.89, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 43.8%p higher than buy and hold, while drawdown improves by 62.0%p (CAGR 20.9%, MDD -22.4%, exposure 17%).
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=33, threshold=13 |
29.8% | -31.6% | 0.89 | 0.94 | 4.2x | 34 | 40% |
| SMA 크로스오버 fast=57, slow=186 |
24.4% | -44.8% | 0.85 | 0.54 | 3.3x | 5 | 36% |
| 볼린저 밴드 돌파 n=28, k=2.8 |
20.9% | -22.4% | 0.84 | 0.93 | 2.8x | 12 | 17% |
| Donchian 채널 돌파 entryN=78, exitN=67 |
24.6% | -30.7% | 0.81 | 0.80 | 3.3x | 5 | 35% |
| ROC 모멘텀 n=140, threshold=0.06 |
23.6% | -38.1% | 0.81 | 0.62 | 3.2x | 26 | 34% |
| EMA 크로스오버 fast=4, slow=168 |
21.0% | -31.5% | 0.74 | 0.67 | 2.8x | 9 | 37% |
| Supertrend period=24, mult=3.4 |
23.6% | -44.3% | 0.73 | 0.53 | 3.2x | 29 | 49% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=22, mult=1.1 |
14.8% | -49.0% | 0.55 | 0.30 | 2.1x | 34 | 41% |
| MACD fast=15, slow=72, signal=12 |
13.4% | -65.5% | 0.50 | 0.20 | 2.0x | 60 | 52% |
| Parabolic SAR step=0.025, maxStep=0.18 |
4.0% | -70.9% | 0.30 | 0.06 | 1.2x | 140 | 46% |
| Buy and hold | -14.0% | -93.6% | 0.03 | -0.15 | 0.4x | 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, 33-day) is ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)