Trend-Following Backtester · Guide · backtest 한국어
equity · AT
ANDRITZ AG backtest
10 trend-following strategies were compared on the full daily history of ANDRITZ AG. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.9%, drawdown -70.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.0%, MDD -62.7%, Sharpe 0.54, 87% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=57, threshold=-0.11 |
12.0% | -62.7% | 0.54 | 0.19 | 17.1x | 143 | 87% |
| SMA 크로스오버 fast=52, slow=126 |
10.1% | -62.5% | 0.50 | 0.16 | 11.3x | 51 | 63% |
| EMA 크로스오버 fast=51, slow=106 |
8.3% | -58.8% | 0.44 | 0.14 | 7.4x | 45 | 65% |
| ADX / DI 방향성 period=31, threshold=32 |
1.7% | -10.6% | 0.39 | 0.16 | 1.5x | 10 | 3% |
| Donchian 채널 돌파 entryN=93, exitN=76 |
5.1% | -48.8% | 0.35 | 0.10 | 3.5x | 29 | 46% |
| Supertrend period=29, mult=3.4 |
4.6% | -65.1% | 0.31 | 0.07 | 3.1x | 137 | 56% |
| Parabolic SAR step=0.005, maxStep=0.3 |
3.5% | -74.0% | 0.26 | 0.05 | 2.4x | 219 | 57% |
| MACD fast=24, slow=33, signal=23 |
3.3% | -62.7% | 0.26 | 0.05 | 2.3x | 248 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=3 |
2.6% | -56.3% | 0.24 | 0.05 | 1.9x | 86 | 31% |
| 볼린저 밴드 돌파 n=37, k=1.6 |
0.5% | -79.8% | 0.12 | 0.01 | 1.1x | 191 | 43% |
| Buy and hold | 14.9% | -70.3% | 0.58 | 0.21 | 32.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 57-day return is greater than -11%
- Sell — Sell when the 57-day return drops to -11% or below