Trend-Following Backtester · Guide · backtest 한국어
equity · DE
thyssenkrupp AG backtest
10 trend-following strategies were compared on the full daily history of thyssenkrupp AG. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.0%, MDD -19.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.3%, drawdown -94.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.1%, MDD -37.6%, Sharpe 0.43, 8% exposure.
CAGR reference leader: MACD — CAGR 8.2%, MDD -65.3%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 56.5%p (CAGR 4.0%, MDD -19.3%, 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=47, k=3 |
5.1% | -37.6% | 0.43 | 0.14 | 3.9x | 24 | 8% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=8, mult=4 |
4.0% | -19.3% | 0.43 | 0.20 | 2.9x | 12 | 3% |
| MACD fast=15, slow=83, signal=36 |
8.2% | -65.3% | 0.41 | 0.12 | 8.6x | 183 | 51% |
| EMA 크로스오버 fast=47, slow=73 |
7.4% | -59.2% | 0.40 | 0.12 | 7.1x | 59 | 52% |
| SMA 크로스오버 fast=23, slow=138 |
7.2% | -64.7% | 0.39 | 0.11 | 6.8x | 67 | 52% |
| Donchian 채널 돌파 entryN=73, exitN=60 |
6.3% | -62.3% | 0.37 | 0.10 | 5.4x | 51 | 46% |
| ADX / DI 방향성 period=27, threshold=30 |
3.0% | -22.6% | 0.34 | 0.13 | 2.3x | 16 | 3% |
| Supertrend period=14, mult=4.7 |
4.0% | -80.3% | 0.28 | 0.05 | 2.9x | 97 | 53% |
| Parabolic SAR step=0.04, maxStep=0.04 |
3.7% | -89.1% | 0.27 | 0.04 | 2.7x | 317 | 53% |
| ROC 모멘텀 n=142, threshold=0.1 |
3.2% | -64.7% | 0.25 | 0.05 | 2.4x | 213 | 38% |
| Buy and hold | 0.3% | -94.0% | 0.22 | 0.00 | 1.1x | 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 47-day average (3× volatility)
- Sell — Sell when the close falls back to the 47-day middle average