Trend-Following Backtester · Guide · backtest 한국어
equity · DE
SAF-HOLLAND SE backtest
10 trend-following strategies were compared on the full daily history of SAF-HOLLAND SE. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.8%, MDD -26.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.7%, drawdown -98.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.1%, MDD -78.7%, Sharpe 0.68, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.4%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 4.8%, MDD -26.6%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=114, threshold=0.03 |
19.1% | -78.7% | 0.68 | 0.24 | 28.2x | 111 | 51% |
| SMA 크로스오버 fast=33, slow=180 |
15.8% | -78.7% | 0.61 | 0.20 | 16.4x | 25 | 52% |
| Donchian 채널 돌파 entryN=53, exitN=72 |
13.4% | -82.9% | 0.56 | 0.16 | 11.0x | 27 | 60% |
| EMA 크로스오버 fast=18, slow=55 |
11.3% | -78.7% | 0.51 | 0.14 | 7.8x | 79 | 54% |
| ADX / DI 방향성 period=38, threshold=23 |
4.8% | -26.6% | 0.39 | 0.18 | 2.5x | 20 | 7% |
| Supertrend period=29, mult=3.6 |
6.7% | -78.4% | 0.39 | 0.09 | 3.4x | 95 | 53% |
| MACD fast=7, slow=41, signal=15 |
6.7% | -78.6% | 0.39 | 0.09 | 3.5x | 313 | 51% |
| Parabolic SAR step=0.04, maxStep=0.28 |
7.8% | -83.8% | 0.38 | 0.09 | 4.2x | 595 | 51% |
| 볼린저 밴드 돌파 n=53, k=1.6 |
4.5% | -77.2% | 0.34 | 0.06 | 2.3x | 91 | 37% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=14, mult=1.1 |
2.2% | -75.0% | 0.27 | 0.03 | 1.5x | 213 | 38% |
| Buy and hold | 0.7% | -98.2% | 0.32 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 114-day return is greater than 3%
- Sell — Sell when the 114-day return drops to 3% or below