Trend-Following Backtester · Guide · backtest 한국어
equity · DE
tonies SE Class A backtest
10 trend-following strategies were compared on the full daily history of tonies SE Class A. 7 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 7.5%, MDD -11.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.5%, drawdown -71.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.7%, MDD -26.2%, Sharpe 0.87, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 19.5%, MDD -28.2%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 7.5%, MDD -11.0%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=46, k=3 |
14.7% | -26.2% | 0.87 | 0.56 | 2.0x | 9 | 21% |
| SMA 크로스오버 fast=30, slow=52 |
19.5% | -28.2% | 0.76 | 0.69 | 2.6x | 33 | 53% |
| ADX / DI 방향성 period=32, threshold=31 |
7.5% | -11.0% | 0.70 | 0.68 | 1.5x | 2 | 7% |
| Donchian 채널 돌파 entryN=26, exitN=63 |
17.1% | -32.8% | 0.64 | 0.52 | 2.3x | 7 | 73% |
| EMA 크로스오버 fast=49, slow=196 |
11.6% | -33.3% | 0.62 | 0.35 | 1.8x | 3 | 34% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=26, mult=4 |
3.7% | -13.9% | 0.45 | 0.27 | 1.2x | 4 | 6% |
| ROC 모멘텀 n=38, threshold=0.08 |
7.2% | -38.3% | 0.42 | 0.19 | 1.4x | 69 | 28% |
| Supertrend period=14, mult=5 |
8.6% | -44.2% | 0.41 | 0.19 | 1.5x | 13 | 71% |
| MACD fast=21, slow=53, signal=20 |
1.4% | -52.4% | 0.19 | 0.03 | 1.1x | 44 | 48% |
| Parabolic SAR step=0.02, maxStep=0.06 |
-2.3% | -61.9% | 0.05 | -0.04 | 0.9x | 85 | 51% |
| Buy and hold | 4.5% | -71.8% | 0.31 | 0.06 | 1.3x | 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 46-day average (3× volatility)
- Sell — Sell when the close falls back to the 46-day middle average