Trend-Following Backtester · Guide · backtest 한국어
equity · DE
TeamViewer SE backtest
10 trend-following strategies were compared on the full daily history of TeamViewer SE. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.4%, MDD -6.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.9%, drawdown -92.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.5%, MDD -11.3%, Sharpe 0.44, 3% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.7%, MDD -54.4%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 80.8%p (CAGR -0.4%, MDD -6.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=26 |
3.5% | -11.3% | 0.44 | 0.31 | 1.3x | 4 | 3% |
| EMA 크로스오버 fast=42, slow=49 |
4.7% | -54.4% | 0.30 | 0.09 | 1.4x | 17 | 38% |
| ROC 모멘텀 n=133, threshold=0.13 |
3.7% | -29.8% | 0.29 | 0.12 | 1.3x | 23 | 18% |
| SMA 크로스오버 fast=25, slow=117 |
2.9% | -59.5% | 0.24 | 0.05 | 1.2x | 21 | 37% |
| Supertrend period=22, mult=4.2 |
2.7% | -57.6% | 0.24 | 0.05 | 1.2x | 27 | 35% |
| Donchian 채널 돌파 entryN=30, exitN=73 |
-0.1% | -67.5% | 0.17 | -0.00 | 1.0x | 21 | 53% |
| 볼린저 밴드 돌파 n=24, k=1.1 |
-0.7% | -56.5% | 0.12 | -0.01 | 1.0x | 77 | 36% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-7.4% | -68.8% | -0.09 | -0.11 | 0.6x | 57 | 41% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=4 |
-0.4% | -6.7% | -0.13 | -0.05 | 1.0x | 2 | 1% |
| MACD fast=16, slow=23, signal=16 |
-10.9% | -79.1% | -0.16 | -0.14 | 0.5x | 101 | 51% |
| Buy and hold | -16.9% | -92.2% | -0.14 | -0.18 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)