Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Evotec SE backtest
10 trend-following strategies were compared on the full daily history of Evotec SE. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.3%, MDD -37.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.6%, drawdown -99.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -37.3%, Sharpe 0.62, 13% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 11.8%, MDD -50.9%, exposure 18%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.8%p higher than buy and hold, while drawdown improves by 62.1%p (CAGR 10.3%, MDD -37.3%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=117, exitN=9 |
10.3% | -37.3% | 0.62 | 0.28 | 13.6x | 52 | 13% |
| 볼린저 밴드 돌파 n=47, k=2.7 |
11.8% | -50.9% | 0.55 | 0.23 | 19.5x | 58 | 18% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=26, mult=2.2 |
9.3% | -48.1% | 0.48 | 0.19 | 10.9x | 118 | 17% |
| Supertrend period=26, mult=3.9 |
9.2% | -72.8% | 0.42 | 0.13 | 10.6x | 110 | 44% |
| SMA 크로스오버 fast=37, slow=171 |
7.6% | -56.7% | 0.39 | 0.13 | 7.2x | 42 | 44% |
| ROC 모멘텀 n=124, threshold=0.08 |
6.4% | -71.5% | 0.36 | 0.09 | 5.3x | 174 | 36% |
| EMA 크로스오버 fast=22, slow=190 |
6.4% | -56.3% | 0.35 | 0.11 | 5.3x | 56 | 45% |
| ADX / DI 방향성 period=27, threshold=22 |
4.5% | -58.3% | 0.31 | 0.08 | 3.2x | 70 | 11% |
| Parabolic SAR step=0.01, maxStep=0.28 |
2.6% | -88.7% | 0.26 | 0.03 | 2.0x | 318 | 48% |
| MACD fast=15, slow=23, signal=18 |
-1.7% | -89.2% | 0.17 | -0.02 | 0.6x | 376 | 52% |
| Buy and hold | -5.6% | -99.4% | 0.20 | -0.06 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 117 days
- Sell — Sell when price breaks below the lowest low of the last 9 days