Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Talanx AG backtest
10 trend-following strategies were compared on the full daily history of Talanx AG. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.1%, MDD -28.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -53.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.1%, MDD -28.4%, Sharpe 0.68, 93% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 25.3%p (CAGR 13.1%, MDD -28.4%, exposure 93%).
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=4, exitN=56 |
13.1% | -28.4% | 0.68 | 0.46 | 5.5x | 39 | 93% |
| ROC 모멘텀 n=118, threshold=-0.12 |
9.6% | -41.2% | 0.55 | 0.23 | 3.6x | 45 | 90% |
| SMA 크로스오버 fast=74, slow=102 |
6.7% | -53.7% | 0.43 | 0.12 | 2.4x | 45 | 65% |
| EMA 크로스오버 fast=36, slow=181 |
5.3% | -41.9% | 0.37 | 0.13 | 2.0x | 19 | 71% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.9% | -27.1% | 0.37 | 0.18 | 1.9x | 115 | 56% |
| Supertrend period=17, mult=3.1 |
3.4% | -38.8% | 0.28 | 0.09 | 1.6x | 101 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=20, mult=2.9 |
1.5% | -29.4% | 0.18 | 0.05 | 1.2x | 57 | 38% |
| MACD fast=17, slow=42, signal=13 |
-0.4% | -44.1% | 0.05 | -0.01 | 0.9x | 183 | 50% |
| 볼린저 밴드 돌파 n=50, k=1.5 |
-0.5% | -33.2% | 0.03 | -0.02 | 0.9x | 93 | 45% |
| ADX / DI 방향성 period=35, threshold=11 |
-1.8% | -47.2% | -0.06 | -0.04 | 0.8x | 148 | 45% |
| Buy and hold | 13.7% | -53.7% | 0.65 | 0.25 | 5.9x | 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 4 days
- Sell — Sell when price breaks below the lowest low of the last 56 days