Trend-Following Backtester · Guide · backtest 한국어
equity · DE
HENSOLDT AG backtest
10 trend-following strategies were compared on the full daily history of HENSOLDT AG. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 32.3%, MDD -30.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 41.2%, drawdown -43.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 32.3%, MDD -30.7%, Sharpe 0.93, 36% exposure.
CAGR reference leader: Parabolic SAR — CAGR 34.0%, MDD -40.3%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.9%p lower than buy and hold, while drawdown improves by 12.7%p (CAGR 32.3%, MDD -30.7%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=22, k=1.6 |
32.3% | -30.7% | 0.93 | 1.05 | 5.3x | 58 | 36% |
| Parabolic SAR step=0.01, maxStep=0.32 |
34.0% | -40.3% | 0.92 | 0.84 | 5.7x | 70 | 48% |
| MACD fast=11, slow=26, signal=11 |
32.5% | -40.4% | 0.90 | 0.80 | 5.3x | 90 | 51% |
| Supertrend period=9, mult=2.8 |
33.2% | -33.3% | 0.89 | 0.99 | 5.5x | 43 | 51% |
| Donchian 채널 돌파 entryN=23, exitN=11 |
31.3% | -34.7% | 0.89 | 0.90 | 5.0x | 40 | 38% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=27, mult=2.2 |
25.6% | -30.1% | 0.83 | 0.85 | 3.9x | 30 | 25% |
| ROC 모멘텀 n=111, threshold=0.12 |
27.0% | -28.1% | 0.79 | 0.96 | 4.1x | 33 | 40% |
| EMA 크로스오버 fast=18, slow=30 |
24.6% | -44.5% | 0.73 | 0.55 | 3.7x | 41 | 50% |
| SMA 크로스오버 fast=48, slow=113 |
18.3% | -45.9% | 0.66 | 0.40 | 2.7x | 17 | 45% |
| ADX / DI 방향성 period=13, threshold=18 |
18.7% | -37.7% | 0.64 | 0.50 | 2.8x | 89 | 37% |
| Buy and hold | 41.2% | -43.5% | 0.93 | 0.95 | 7.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 22-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 22-day middle average