Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Deutsche Pfandbriefbank AG backtest
10 trend-following strategies were compared on the full daily history of Deutsche Pfandbriefbank AG. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -7.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.4%, drawdown -82.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.4%, MDD -8.3%, Sharpe 0.45, 2% exposure.
CAGR reference leader: MACD — CAGR 7.7%, MDD -38.4%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 74.1%p (CAGR 0.2%, MDD -7.6%, exposure 3%).
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=37, k=3.5 |
2.4% | -8.3% | 0.45 | 0.29 | 1.3x | 2 | 2% |
| MACD fast=16, slow=22, signal=19 |
7.7% | -38.4% | 0.42 | 0.20 | 2.3x | 136 | 51% |
| Donchian 채널 돌파 entryN=66, exitN=11 |
2.7% | -23.2% | 0.28 | 0.12 | 1.3x | 34 | 18% |
| Parabolic SAR step=0.02, maxStep=0.28 |
1.5% | -56.6% | 0.18 | 0.03 | 1.2x | 222 | 51% |
| Supertrend period=14, mult=4.9 |
0.1% | -42.4% | 0.12 | 0.00 | 1.0x | 35 | 50% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=14, mult=2.2 |
0.5% | -38.1% | 0.11 | 0.01 | 1.1x | 48 | 24% |
| ADX / DI 방향성 period=23, threshold=33 |
0.2% | -7.6% | 0.08 | 0.03 | 1.0x | 10 | 3% |
| ROC 모멘텀 n=74, threshold=0.02 |
-2.3% | -59.3% | -0.02 | -0.04 | 0.8x | 94 | 40% |
| SMA 크로스오버 fast=45, slow=72 |
-4.6% | -61.9% | -0.09 | -0.07 | 0.6x | 45 | 46% |
| EMA 크로스오버 fast=30, slow=42 |
-4.3% | -62.2% | -0.10 | -0.07 | 0.6x | 45 | 42% |
| Buy and hold | -10.4% | -82.4% | -0.11 | -0.13 | 0.3x | 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 37-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 37-day middle average