Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Jenoptik AG backtest
10 trend-following strategies were compared on the full daily history of Jenoptik AG. 3 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 2.7%, MDD -50.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.2%, drawdown -92.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.7%, MDD -50.6%, Sharpe 0.27, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.1%, MDD -72.7%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 42.1%p (CAGR 2.7%, MDD -50.6%, 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=13, k=2.7 |
2.7% | -50.6% | 0.27 | 0.05 | 2.1x | 96 | 10% |
| Donchian 채널 돌파 entryN=38, exitN=105 |
3.0% | -87.9% | 0.25 | 0.03 | 2.3x | 43 | 72% |
| SMA 크로스오버 fast=10, slow=75 |
3.1% | -72.7% | 0.25 | 0.04 | 2.4x | 140 | 51% |
| EMA 크로스오버 fast=22, slow=27 |
2.0% | -75.1% | 0.21 | 0.03 | 1.7x | 158 | 51% |
| MACD fast=10, slow=32, signal=8 |
1.2% | -82.6% | 0.18 | 0.01 | 1.4x | 562 | 50% |
| ADX / DI 방향성 period=8, threshold=28 |
1.6% | -56.6% | 0.18 | 0.03 | 1.6x | 450 | 28% |
| ROC 모멘텀 n=67, threshold=-0.07 |
-1.6% | -93.6% | 0.10 | -0.02 | 0.6x | 291 | 67% |
| Supertrend period=19, mult=3.4 |
-1.3% | -86.9% | 0.09 | -0.01 | 0.7x | 162 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=3.7 |
-0.6% | -73.2% | 0.07 | -0.01 | 0.9x | 76 | 24% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-2.2% | -90.6% | 0.06 | -0.02 | 0.5x | 622 | 51% |
| Buy and hold | 2.2% | -92.8% | 0.26 | 0.02 | 1.8x | 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 13-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 13-day middle average