Trend-Following Backtester · Guide · backtest 한국어
equity · DE
GRENKE AG backtest
10 trend-following strategies were compared on the full daily history of GRENKE AG. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.5%, MDD -24.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.4%, drawdown -89.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -51.2%, Sharpe 0.43, 43% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.9%, MDD -74.1%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 2.5%, MDD -24.1%, exposure 3%).
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=95, exitN=45 |
6.8% | -51.2% | 0.43 | 0.13 | 5.6x | 36 | 43% |
| EMA 크로스오버 fast=20, slow=194 |
6.9% | -74.1% | 0.41 | 0.09 | 5.7x | 34 | 54% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=16, mult=4 |
2.5% | -24.1% | 0.34 | 0.10 | 1.9x | 16 | 3% |
| SMA 크로스오버 fast=16, slow=141 |
3.3% | -81.8% | 0.26 | 0.04 | 2.4x | 64 | 56% |
| ROC 모멘텀 n=92, threshold=-0.03 |
2.9% | -88.6% | 0.24 | 0.03 | 2.1x | 200 | 61% |
| ADX / DI 방향성 period=15, threshold=39 |
2.0% | -36.9% | 0.23 | 0.05 | 1.7x | 52 | 7% |
| Supertrend period=11, mult=4.6 |
1.6% | -84.8% | 0.19 | 0.02 | 1.5x | 96 | 58% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
1.2% | -59.3% | 0.16 | 0.02 | 1.4x | 52 | 21% |
| Parabolic SAR step=0.005, maxStep=0.4 |
-2.4% | -82.4% | 0.06 | -0.03 | 0.5x | 211 | 54% |
| MACD fast=11, slow=35, signal=9 |
-2.5% | -80.7% | 0.04 | -0.03 | 0.5x | 515 | 50% |
| Buy and hold | 2.4% | -89.1% | 0.27 | 0.03 | 1.8x | 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 95 days
- Sell — Sell when price breaks below the lowest low of the last 45 days