Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Volkswagen AG backtest
10 trend-following strategies were compared on the full daily history of Volkswagen AG. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.0%, MDD -46.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.8%, drawdown -88.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.0%, MDD -46.1%, Sharpe 0.47, 23% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.1%, MDD -55.4%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 7.0%, MDD -46.1%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=13, mult=3.9 |
7.0% | -46.1% | 0.47 | 0.15 | 8.4x | 72 | 23% |
| Donchian 채널 돌파 entryN=85, exitN=39 |
9.1% | -55.4% | 0.37 | 0.16 | 15.2x | 56 | 38% |
| 볼린저 밴드 돌파 n=52, k=2.4 |
4.5% | -65.1% | 0.33 | 0.07 | 4.0x | 88 | 26% |
| EMA 크로스오버 fast=45, slow=66 |
6.4% | -78.8% | 0.31 | 0.08 | 7.1x | 86 | 54% |
| SMA 크로스오버 fast=43, slow=90 |
6.4% | -73.9% | 0.31 | 0.09 | 6.9x | 100 | 54% |
| Parabolic SAR step=0.02, maxStep=0.06 |
4.7% | -79.3% | 0.30 | 0.06 | 4.2x | 445 | 53% |
| ROC 모멘텀 n=133, threshold=-0.01 |
6.3% | -65.6% | 0.30 | 0.10 | 6.7x | 210 | 56% |
| ADX / DI 방향성 period=28, threshold=24 |
6.4% | -51.0% | 0.30 | 0.13 | 7.0x | 58 | 13% |
| Supertrend period=23, mult=4.1 |
1.7% | -90.3% | 0.19 | 0.02 | 1.7x | 150 | 52% |
| MACD fast=11, slow=49, signal=17 |
0.2% | -88.8% | 0.13 | 0.00 | 1.1x | 393 | 51% |
| Buy and hold | 4.8% | -88.0% | 0.29 | 0.05 | 4.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 48-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 48-day average