Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Mercedes-Benz Group AG backtest
10 trend-following strategies were compared on the full daily history of Mercedes-Benz Group AG. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.6%, MDD -18.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.7%, drawdown -82.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -54.7%, Sharpe 0.38, 44% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 1.6%, MDD -18.4%, exposure 4%).
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=35, exitN=25 |
5.5% | -54.7% | 0.38 | 0.10 | 5.0x | 96 | 44% |
| Supertrend period=24, mult=4.9 |
5.1% | -64.3% | 0.34 | 0.08 | 4.3x | 84 | 49% |
| 볼린저 밴드 돌파 n=47, k=3.3 |
1.6% | -18.4% | 0.33 | 0.09 | 1.6x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=28, mult=1.2 |
4.0% | -52.2% | 0.30 | 0.08 | 3.2x | 188 | 42% |
| ADX / DI 방향성 period=30, threshold=45 |
0.5% | -3.5% | 0.30 | 0.13 | 1.2x | 2 | 0% |
| SMA 크로스오버 fast=6, slow=86 |
4.1% | -68.1% | 0.30 | 0.06 | 3.3x | 156 | 51% |
| EMA 크로스오버 fast=33, slow=34 |
3.5% | -69.6% | 0.27 | 0.05 | 2.8x | 122 | 51% |
| ROC 모멘텀 n=84, threshold=-0.04 |
0.5% | -66.5% | 0.13 | 0.01 | 1.2x | 274 | 59% |
| MACD fast=16, slow=22, signal=15 |
-5.9% | -87.3% | -0.16 | -0.07 | 0.2x | 445 | 49% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-8.1% | -94.6% | -0.26 | -0.09 | 0.1x | 575 | 52% |
| Buy and hold | 0.7% | -82.9% | 0.19 | 0.01 | 1.2x | 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 35 days
- Sell — Sell when price breaks below the lowest low of the last 25 days