Trend-Following Backtester · Guide · backtest 한국어
equity · DE
DHL AG backtest
10 trend-following strategies were compared on the full daily history of DHL AG. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.8%, MDD -42.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.8%, drawdown -74.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -42.2%, Sharpe 0.45, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 6.8%, MDD -42.2%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=10, slow=138 |
6.8% | -42.2% | 0.45 | 0.16 | 5.4x | 65 | 56% |
| EMA 크로스오버 fast=35, slow=86 |
5.9% | -42.6% | 0.40 | 0.14 | 4.3x | 59 | 56% |
| Donchian 채널 돌파 entryN=60, exitN=65 |
5.4% | -49.3% | 0.39 | 0.11 | 3.9x | 45 | 53% |
| ROC 모멘텀 n=137, threshold=0.05 |
4.1% | -47.7% | 0.33 | 0.09 | 2.8x | 183 | 47% |
| Supertrend period=28, mult=3.7 |
4.1% | -49.5% | 0.30 | 0.08 | 2.8x | 127 | 57% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=18, mult=4 |
2.6% | -33.8% | 0.27 | 0.08 | 2.0x | 57 | 31% |
| MACD fast=12, slow=54, signal=12 |
1.4% | -48.8% | 0.17 | 0.03 | 1.4x | 368 | 51% |
| ADX / DI 방향성 period=44, threshold=25 |
0.4% | -6.9% | 0.14 | 0.06 | 1.1x | 8 | 2% |
| 볼린저 밴드 돌파 n=36, k=1.3 |
0.3% | -41.9% | 0.10 | 0.01 | 1.1x | 226 | 43% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.9% | -53.5% | 0.05 | -0.02 | 0.8x | 236 | 54% |
| Buy and hold | 3.8% | -74.1% | 0.27 | 0.05 | 2.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 10-day average price crosses above the 138-day average
- Sell — Sell (to cash) when the 10-day average falls below the 138-day average