Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Fielmann Group AG backtest
10 trend-following strategies were compared on the full daily history of Fielmann Group AG. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -64.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.5%, MDD -2.8%, Sharpe 0.29, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.9%, MDD -59.5%, exposure 60%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=7, atrPeriod=27, mult=3.8 |
0.5% | -2.8% | 0.29 | 0.17 | 1.1x | 4 | 0% |
| SMA 크로스오버 fast=47, slow=271 |
2.9% | -59.5% | 0.25 | 0.05 | 2.1x | 28 | 60% |
| Donchian 채널 돌파 entryN=8, exitN=79 |
2.2% | -50.0% | 0.21 | 0.04 | 1.8x | 85 | 89% |
| Supertrend period=23, mult=4.6 |
1.5% | -58.3% | 0.17 | 0.03 | 1.5x | 84 | 58% |
| EMA 크로스오버 fast=51, slow=260 |
1.1% | -74.3% | 0.15 | 0.02 | 1.3x | 34 | 61% |
| 볼린저 밴드 돌파 n=12, k=3.1 |
0.3% | -7.1% | 0.14 | 0.04 | 1.1x | 6 | 1% |
| ROC 모멘텀 n=141, threshold=-0.04 |
-2.0% | -68.2% | -0.00 | -0.03 | 0.6x | 224 | 70% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-3.0% | -62.3% | -0.08 | -0.05 | 0.5x | 519 | 52% |
| MACD fast=21, slow=39, signal=19 |
-4.9% | -81.2% | -0.20 | -0.06 | 0.3x | 310 | 49% |
| ADX / DI 방향성 period=32, threshold=28 |
-0.6% | -20.9% | -0.20 | -0.03 | 0.8x | 10 | 1% |
| Buy and hold | 5.5% | -64.0% | 0.33 | 0.09 | 3.9x | 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 7-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average