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%).
Results by strategy
5 of 10 beat buy and hold (CAGR -2.0%, drawdown -66.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.7%, MDD -5.6%, Sharpe 0.25, 1% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 1.2%, MDD -28.5%, exposure 15%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.7%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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=4, atrPeriod=28, mult=1.6 |
0.7% | -5.6% | 0.25 | 0.12 | 1.1x | 6 | 1% |
| 볼린저 밴드 돌파 n=20, k=2.5 |
1.2% | -28.5% | 0.19 | 0.04 | 1.2x | 49 | 15% |
| ADX / DI 방향성 period=14, threshold=28 |
-0.2% | -30.9% | 0.02 | -0.01 | 1.0x | 51 | 11% |
| MACD fast=17, slow=47, signal=15 |
-2.3% | -52.1% | -0.05 | -0.04 | 0.7x | 153 | 51% |
| Supertrend period=28, mult=3.5 |
-2.5% | -50.1% | -0.07 | -0.05 | 0.7x | 71 | 51% |
| Donchian 채널 돌파 entryN=52, exitN=16 |
-1.6% | -43.8% | -0.09 | -0.04 | 0.8x | 49 | 25% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-4.7% | -64.3% | -0.20 | -0.07 | 0.5x | 272 | 50% |
| SMA 크로스오버 fast=16, slow=50 |
-5.3% | -64.6% | -0.24 | -0.08 | 0.5x | 71 | 49% |
| EMA 크로스오버 fast=9, slow=35 |
-5.2% | -62.0% | -0.25 | -0.08 | 0.5x | 115 | 50% |
| ROC 모멘텀 n=48, threshold=0.2 |
-1.6% | -21.5% | -0.30 | -0.08 | 0.8x | 36 | 3% |
| Buy and hold | -2.0% | -66.5% | 0.05 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 4-day average + 1.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 4-day average