Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Hapag-Lloyd AG backtest
10 trend-following strategies were compared on the full daily history of Hapag-Lloyd AG. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 18.1%, MDD -42.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 18.8%, drawdown -77.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 24.9%, MDD -55.2%, Sharpe 0.80, 40% exposure.
CAGR reference leader: Supertrend — CAGR 25.2%, MDD -47.7%, exposure 48%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 22.2%p (CAGR 18.1%, MDD -42.3%, exposure 27%).
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=70, k=1.4 |
24.9% | -55.2% | 0.80 | 0.45 | 10.9x | 37 | 40% |
| Supertrend period=14, mult=2.5 |
25.2% | -47.7% | 0.79 | 0.53 | 11.2x | 89 | 48% |
| Parabolic SAR step=0.01, maxStep=0.24 |
22.2% | -55.6% | 0.71 | 0.40 | 8.6x | 143 | 48% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=11, mult=1.1 |
20.4% | -54.6% | 0.70 | 0.37 | 7.3x | 99 | 41% |
| ROC 모멘텀 n=11, threshold=0.06 |
18.1% | -42.3% | 0.70 | 0.43 | 5.9x | 240 | 27% |
| MACD fast=16, slow=29, signal=13 |
20.4% | -64.3% | 0.68 | 0.32 | 7.4x | 151 | 50% |
| ADX / DI 방향성 period=27, threshold=26 |
13.7% | -52.1% | 0.64 | 0.26 | 4.0x | 22 | 16% |
| EMA 크로스오버 fast=13, slow=30 |
18.3% | -63.6% | 0.62 | 0.29 | 6.1x | 75 | 53% |
| Donchian 채널 돌파 entryN=129, exitN=30 |
16.0% | -59.5% | 0.62 | 0.27 | 4.9x | 18 | 28% |
| SMA 크로스오버 fast=44, slow=160 |
13.1% | -73.2% | 0.51 | 0.18 | 3.8x | 24 | 50% |
| Buy and hold | 18.8% | -77.4% | 0.59 | 0.24 | 6.3x | 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 70-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 70-day middle average