Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Deutsche Rohstoff AG backtest
10 trend-following strategies were compared on the full daily history of Deutsche Rohstoff AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.0%, MDD -41.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.2%, drawdown -78.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.0%, MDD -41.0%, Sharpe 0.67, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 17.0%, MDD -41.0%, exposure 55%).
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=35, slow=86 |
17.0% | -41.0% | 0.67 | 0.41 | 12.8x | 46 | 55% |
| Donchian 채널 돌파 entryN=33, exitN=48 |
15.3% | -49.0% | 0.61 | 0.31 | 10.1x | 43 | 63% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=26, mult=4 |
9.0% | -32.9% | 0.58 | 0.27 | 4.1x | 32 | 15% |
| EMA 크로스오버 fast=49, slow=93 |
14.0% | -47.5% | 0.57 | 0.30 | 8.5x | 33 | 58% |
| MACD fast=16, slow=32, signal=12 |
13.2% | -51.2% | 0.57 | 0.26 | 7.5x | 213 | 49% |
| 볼린저 밴드 돌파 n=39, k=1.6 |
11.6% | -40.8% | 0.56 | 0.29 | 6.0x | 93 | 36% |
| Supertrend period=21, mult=4.4 |
11.6% | -50.2% | 0.51 | 0.23 | 6.0x | 57 | 57% |
| ROC 모멘텀 n=71, threshold=-0.03 |
9.9% | -60.5% | 0.46 | 0.16 | 4.7x | 162 | 62% |
| Parabolic SAR step=0.015, maxStep=0.28 |
9.2% | -53.7% | 0.45 | 0.17 | 4.2x | 254 | 51% |
| ADX / DI 방향성 period=31, threshold=15 |
6.3% | -55.3% | 0.39 | 0.11 | 2.7x | 96 | 24% |
| Buy and hold | 15.2% | -78.8% | 0.55 | 0.19 | 9.9x | 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 35-day average price crosses above the 86-day average
- Sell — Sell (to cash) when the 35-day average falls below the 86-day average