Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Vossloh Aktiengesellschaft backtest
10 trend-following strategies were compared on the full daily history of Vossloh Aktiengesellschaft. 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 1.4%, MDD -22.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.1%, drawdown -79.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -40.1%, Sharpe 0.36, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 1.4%, MDD -22.3%, 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=38, k=3.3 |
3.7% | -40.1% | 0.36 | 0.09 | 2.8x | 36 | 11% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=22, mult=3.8 |
2.5% | -30.0% | 0.26 | 0.08 | 2.0x | 48 | 15% |
| Donchian 채널 돌파 entryN=34, exitN=74 |
3.3% | -56.4% | 0.25 | 0.06 | 2.5x | 56 | 69% |
| Supertrend period=22, mult=4.9 |
3.3% | -48.5% | 0.25 | 0.07 | 2.5x | 74 | 58% |
| ADX / DI 방향성 period=25, threshold=32 |
1.4% | -22.3% | 0.24 | 0.07 | 1.5x | 14 | 3% |
| SMA 크로스오버 fast=21, slow=47 |
2.2% | -51.2% | 0.21 | 0.04 | 1.9x | 162 | 53% |
| EMA 크로스오버 fast=23, slow=50 |
0.9% | -75.0% | 0.15 | 0.01 | 1.3x | 128 | 53% |
| ROC 모멘텀 n=89, threshold=-0.03 |
-2.2% | -87.2% | 0.02 | -0.03 | 0.5x | 304 | 60% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.3% | -78.0% | -0.03 | -0.04 | 0.4x | 210 | 50% |
| MACD fast=29, slow=44, signal=15 |
-5.7% | -89.1% | -0.13 | -0.06 | 0.2x | 306 | 51% |
| Buy and hold | 0.1% | -79.8% | 0.18 | 0.00 | 1.0x | 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 38-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 38-day middle average