Trend-Following Backtester · Guide · backtest 한국어
equity · DE
DWS Group GmbH & Co. KGaA backtest
10 trend-following strategies were compared on the full daily history of DWS Group GmbH & Co. KGaA. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 13.4%, MDD -32.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.9%, drawdown -54.4%).
Sharpe leader (same as main): Supertrend — CAGR 14.5%, MDD -37.0%, Sharpe 0.71, 56% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.9%, MDD -39.1%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: MACD — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 13.4%, MDD -32.0%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=2 |
14.5% | -37.0% | 0.71 | 0.39 | 3.1x | 97 | 56% |
| MACD fast=17, slow=44, signal=16 |
13.4% | -32.0% | 0.70 | 0.42 | 2.9x | 86 | 54% |
| ROC 모멘텀 Hold-like · Exposure 96% n=8, threshold=-0.09 |
14.9% | -39.1% | 0.63 | 0.38 | 3.2x | 43 | 96% |
| Parabolic SAR step=0.01, maxStep=0.28 |
9.9% | -28.4% | 0.52 | 0.35 | 2.2x | 109 | 57% |
| 볼린저 밴드 돌파 n=52, k=2.6 |
4.5% | -27.9% | 0.41 | 0.16 | 1.4x | 17 | 20% |
| Donchian 채널 돌파 entryN=8, exitN=19 |
7.6% | -43.0% | 0.41 | 0.18 | 1.9x | 63 | 72% |
| SMA 크로스오버 fast=4, slow=95 |
6.4% | -31.6% | 0.39 | 0.20 | 1.7x | 43 | 59% |
| EMA 크로스오버 fast=1, slow=126 |
6.2% | -45.1% | 0.38 | 0.14 | 1.7x | 71 | 62% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=19, mult=3.3 |
2.6% | -32.0% | 0.26 | 0.08 | 1.2x | 27 | 26% |
| ADX / DI 방향성 period=38, threshold=14 |
1.5% | -26.1% | 0.18 | 0.06 | 1.1x | 49 | 26% |
| Buy and hold | 10.9% | -54.4% | 0.48 | 0.20 | 2.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 2× band
- Sell — Sell when price drops below the trend line (flips down)