Trend-Following Backtester · Guide · backtest 한국어

equity · DE

Evonik Industries AG backtest

10 trend-following strategies were compared on the full daily history of Evonik Industries AG. 5 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 0.7%, MDD -5.6%).

Data 2013-07-08 ~ 2026-07-31daily bars 3,317 (13.1 years)Costs 0.5%Venue XETRMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR -2.6%, drawdown -66.5%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.7%, MDD -5.6%, Sharpe 0.25, 1% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 60.9%p (CAGR 0.7%, MDD -5.6%, exposure 1%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=4, atrPeriod=28, mult=1.6
0.7%-5.6%0.250.121.1x61%
볼린저 밴드 돌파
n=20, k=2.5
0.6%-28.5%0.120.021.1x4915%
ADX / DI 방향성
period=14, threshold=28
-0.7%-30.9%-0.06-0.020.9x5011%
MACD
fast=17, slow=47, signal=15
-3.0%-52.1%-0.09-0.060.7x15351%
Donchian 채널 돌파
entryN=52, exitN=16
-1.7%-43.8%-0.10-0.040.8x4825%
Supertrend
period=28, mult=3.5
-3.1%-50.1%-0.10-0.060.7x7150%
Parabolic SAR
step=0.02, maxStep=0.12
-5.1%-64.3%-0.23-0.080.5x27150%
ROC 모멘텀
n=48, threshold=0.2
-1.5%-21.2%-0.27-0.070.8x343%
SMA 크로스오버
fast=16, slow=50
-5.9%-64.6%-0.28-0.090.5x7148%
EMA 크로스오버
fast=9, slow=35
-5.8%-62.0%-0.29-0.090.5x11550%
Buy and hold-2.6%-66.5%0.03-0.040.7x1100%
1x 2014 2016 2018 2020 2022 2024 2026 Keltner 채널 돌파Buy and hold
Keltner 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -33% -50% -67% 2014 2016 2018 2020 2022 2024 2026 Buy and holdKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -5.6% (2025-03-06 → 2025-03-12), recovered after 341 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next