Trend-Following Backtester · Guide · backtest 한국어
equity · DE
DWS Group GmbH & Co. KGaA backtest
10 trend-following strategies were compared on the full daily history of DWS Group GmbH & Co. KGaA. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 13.5%, MDD -32.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.5%, drawdown -54.4%).
Sharpe leader (same as main): MACD — CAGR 13.5%, MDD -32.0%, Sharpe 0.71, 54% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.5%, MDD -39.1%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: MACD — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 22.4%p (CAGR 13.5%, MDD -32.0%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=44, signal=16 |
13.5% | -32.0% | 0.71 | 0.42 | 2.9x | 85 | 54% |
| Supertrend period=18, mult=2 |
14.1% | -37.0% | 0.69 | 0.38 | 3.0x | 97 | 56% |
| ROC 모멘텀 Hold-like · Exposure 96% n=8, threshold=-0.09 |
14.5% | -39.1% | 0.62 | 0.37 | 3.1x | 43 | 96% |
| Parabolic SAR step=0.01, maxStep=0.28 |
9.5% | -28.4% | 0.50 | 0.34 | 2.1x | 109 | 57% |
| Donchian 채널 돌파 entryN=8, exitN=19 |
7.2% | -43.0% | 0.40 | 0.17 | 1.8x | 63 | 72% |
| 볼린저 밴드 돌파 n=52, k=2.6 |
4.1% | -27.9% | 0.38 | 0.15 | 1.4x | 17 | 19% |
| SMA 크로스오버 fast=4, slow=95 |
6.0% | -31.6% | 0.38 | 0.19 | 1.6x | 43 | 59% |
| EMA 크로스오버 fast=1, slow=126 |
5.8% | -45.1% | 0.37 | 0.13 | 1.6x | 71 | 61% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=19, mult=3.3 |
2.1% | -32.0% | 0.22 | 0.07 | 1.2x | 27 | 25% |
| ADX / DI 방향성 period=38, threshold=14 |
1.0% | -26.1% | 0.14 | 0.04 | 1.1x | 49 | 25% |
| Buy and hold | 10.5% | -54.4% | 0.47 | 0.19 | 2.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/44) crosses above its 16-day signal line
- Sell — Sell when the MACD line crosses back below the signal line