Trend-Following Backtester · Guide · backtest 한국어
equity · DE
DEUTZ AG backtest
10 trend-following strategies were compared on the full daily history of DEUTZ AG. 10 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 4.8%, MDD -35.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.0%, drawdown -89.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.5%, MDD -45.9%, Sharpe 0.54, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 43.9%p (CAGR 4.8%, MDD -35.7%, exposure 23%).
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=81, exitN=73 |
12.5% | -45.9% | 0.54 | 0.27 | 27.5x | 33 | 50% |
| ROC 모멘텀 n=82, threshold=0 |
10.3% | -55.6% | 0.47 | 0.18 | 15.5x | 205 | 50% |
| EMA 크로스오버 fast=14, slow=108 |
9.5% | -50.5% | 0.45 | 0.19 | 12.7x | 69 | 50% |
| SMA 크로스오버 fast=20, slow=187 |
9.1% | -56.7% | 0.44 | 0.16 | 11.5x | 40 | 50% |
| 볼린저 밴드 돌파 n=33, k=2.6 |
6.0% | -45.5% | 0.39 | 0.13 | 5.1x | 90 | 19% |
| Supertrend period=29, mult=4.7 |
6.1% | -68.9% | 0.34 | 0.09 | 5.3x | 84 | 51% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=9, mult=2.7 |
4.8% | -35.7% | 0.33 | 0.13 | 3.7x | 108 | 23% |
| Parabolic SAR step=0.005, maxStep=0.32 |
2.6% | -69.0% | 0.23 | 0.04 | 2.0x | 225 | 48% |
| ADX / DI 방향성 period=10, threshold=37 |
2.0% | -56.2% | 0.20 | 0.04 | 1.7x | 166 | 12% |
| MACD fast=15, slow=53, signal=19 |
-0.7% | -81.0% | 0.13 | -0.01 | 0.8x | 293 | 51% |
| Buy and hold | -1.0% | -89.8% | 0.20 | -0.01 | 0.8x | 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 81 days
- Sell — Sell when price breaks below the lowest low of the last 73 days