Trend-Following Backtester · Guide · backtest 한국어
equity · DE
LANXESS AG backtest
10 trend-following strategies were compared on the full daily history of LANXESS AG. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.8%, MDD -10.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.7%, drawdown -84.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.4%, MDD -39.8%, Sharpe 0.32, 34% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 44.5%p (CAGR 0.8%, MDD -10.6%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=113, exitN=41 |
4.4% | -39.8% | 0.32 | 0.11 | 3.1x | 38 | 34% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=21, mult=3.6 |
0.8% | -10.6% | 0.27 | 0.07 | 1.2x | 8 | 2% |
| 볼린저 밴드 돌파 n=48, k=3.1 |
1.1% | -24.1% | 0.18 | 0.05 | 1.3x | 16 | 6% |
| ROC 모멘텀 n=153, threshold=0.06 |
1.6% | -69.0% | 0.18 | 0.02 | 1.5x | 178 | 40% |
| ADX / DI 방향성 period=20, threshold=26 |
1.3% | -35.2% | 0.18 | 0.04 | 1.4x | 78 | 11% |
| SMA 크로스오버 fast=76, slow=123 |
0.8% | -67.1% | 0.16 | 0.01 | 1.2x | 70 | 51% |
| EMA 크로스오버 fast=47, slow=176 |
-0.4% | -73.0% | 0.10 | -0.01 | 0.9x | 34 | 48% |
| Supertrend period=14, mult=3.7 |
-1.7% | -74.1% | 0.06 | -0.02 | 0.6x | 134 | 50% |
| MACD fast=19, slow=59, signal=19 |
-3.4% | -78.1% | 0.00 | -0.04 | 0.4x | 275 | 50% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-12.7% | -98.0% | -0.36 | -0.13 | 0.0x | 603 | 52% |
| Buy and hold | -3.7% | -84.3% | 0.12 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 113 days
- Sell — Sell when price breaks below the lowest low of the last 41 days