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 31.0%, MDD -30.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 40.2%, drawdown -43.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 31.0%, MDD -30.7%, Sharpe 0.90, 35% exposure.
CAGR reference leader: Supertrend — CAGR 32.1%, MDD -33.3%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.2%p lower than buy and hold, while drawdown improves by 12.7%p (CAGR 31.0%, MDD -30.7%, exposure 35%).
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 |
31.0% | -30.7% | 0.90 | 1.01 | 4.9x | 57 | 35% |
| Parabolic SAR step=0.01, maxStep=0.32 |
31.9% | -40.3% | 0.88 | 0.79 | 5.0x | 69 | 47% |
| Supertrend period=9, mult=2.8 |
32.1% | -33.3% | 0.87 | 0.96 | 5.1x | 43 | 51% |
| Donchian 채널 돌파 entryN=23, exitN=11 |
30.0% | -34.7% | 0.86 | 0.86 | 4.6x | 39 | 38% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=27, mult=2.2 |
27.0% | -26.7% | 0.86 | 1.01 | 4.0x | 28 | 24% |
| MACD fast=11, slow=26, signal=11 |
30.4% | -40.4% | 0.86 | 0.75 | 4.7x | 89 | 50% |
| ROC 모멘텀 n=111, threshold=0.12 |
28.2% | -28.1% | 0.81 | 1.00 | 4.3x | 30 | 40% |
| SMA 크로스오버 fast=48, slow=113 |
20.6% | -40.2% | 0.71 | 0.51 | 3.0x | 16 | 45% |
| EMA 크로스오버 fast=18, slow=30 |
23.5% | -44.5% | 0.71 | 0.53 | 3.4x | 41 | 50% |
| ADX / DI 방향성 period=13, threshold=18 |
18.2% | -37.7% | 0.63 | 0.48 | 2.7x | 87 | 36% |
| Buy and hold | 40.2% | -43.5% | 0.92 | 0.93 | 7.2x | 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