Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Heidelberg Materials AG backtest
10 trend-following strategies were compared on the full daily history of Heidelberg Materials AG. 7 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 4.4%, MDD -25.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.9%, drawdown -83.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.4%, MDD -25.7%, Sharpe 0.48, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.7%, MDD -52.2%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 57.6%p (CAGR 4.4%, MDD -25.7%, exposure 10%).
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=54, k=3.2 |
4.4% | -25.7% | 0.48 | 0.17 | 3.4x | 18 | 10% |
| SMA 크로스오버 fast=22, slow=52 |
8.7% | -52.2% | 0.46 | 0.17 | 10.3x | 134 | 55% |
| EMA 크로스오버 fast=26, slow=116 |
8.1% | -48.7% | 0.45 | 0.17 | 8.8x | 58 | 57% |
| Donchian 채널 돌파 entryN=44, exitN=45 |
7.4% | -45.4% | 0.41 | 0.16 | 7.4x | 68 | 55% |
| ADX / DI 방향성 period=36, threshold=22 |
3.5% | -26.7% | 0.41 | 0.13 | 2.6x | 38 | 10% |
| ROC 모멘텀 n=135, threshold=-0.03 |
6.3% | -68.2% | 0.38 | 0.09 | 5.6x | 174 | 61% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=8, mult=1.4 |
3.9% | -56.3% | 0.28 | 0.07 | 2.9x | 192 | 46% |
| Supertrend period=36, mult=3 |
1.6% | -78.4% | 0.19 | 0.02 | 1.6x | 210 | 54% |
| Parabolic SAR step=0.005, maxStep=0.22 |
0.8% | -71.0% | 0.15 | 0.01 | 1.2x | 250 | 54% |
| MACD fast=19, slow=54, signal=19 |
-1.7% | -66.5% | 0.06 | -0.03 | 0.6x | 302 | 51% |
| Buy and hold | 2.9% | -83.3% | 0.26 | 0.03 | 2.2x | 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 54-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 54-day middle average