Trend-Following Backtester · Guide · backtest 한국어
equity · DE
CEWE Stiftung & Co. KGaA backtest
10 trend-following strategies were compared on the full daily history of CEWE Stiftung & Co. KGaA. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.7%, MDD -38.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.7%, drawdown -79.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.7%, MDD -38.7%, Sharpe 0.48, 24% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 41.1%p (CAGR 6.7%, MDD -38.7%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=17, mult=3.5 |
6.7% | -38.7% | 0.48 | 0.17 | 6.0x | 74 | 24% |
| ADX / DI 방향성 period=25, threshold=19 |
5.3% | -42.6% | 0.40 | 0.13 | 4.2x | 148 | 22% |
| SMA 크로스오버 fast=15, slow=71 |
6.4% | -56.8% | 0.39 | 0.11 | 5.6x | 120 | 52% |
| 볼린저 밴드 돌파 n=29, k=2.9 |
4.3% | -32.6% | 0.39 | 0.13 | 3.2x | 74 | 16% |
| Donchian 채널 돌파 entryN=31, exitN=44 |
5.2% | -66.9% | 0.33 | 0.08 | 4.1x | 86 | 62% |
| EMA 크로스오버 fast=45, slow=55 |
4.2% | -57.3% | 0.30 | 0.07 | 3.2x | 86 | 53% |
| ROC 모멘텀 n=62, threshold=0.11 |
2.6% | -54.3% | 0.24 | 0.05 | 2.1x | 252 | 24% |
| Supertrend period=7, mult=2.6 |
1.1% | -69.6% | 0.15 | 0.02 | 1.3x | 269 | 49% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-0.3% | -67.4% | 0.10 | -0.00 | 0.9x | 433 | 52% |
| MACD fast=17, slow=49, signal=18 |
-1.5% | -81.6% | 0.04 | -0.02 | 0.7x | 315 | 50% |
| Buy and hold | 6.7% | -79.8% | 0.36 | 0.08 | 6.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 46-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 46-day average