Trend-Following Backtester · Guide · backtest 한국어
equity · AT
Mayr-Melnhof Karton AG backtest
10 trend-following strategies were compared on the full daily history of Mayr-Melnhof Karton AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.7%, MDD -31.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.2%, drawdown -64.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -31.8%, Sharpe 0.45, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 6.7%, MDD -31.8%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=178 |
6.7% | -31.8% | 0.45 | 0.21 | 5.7x | 32 | 57% |
| EMA 크로스오버 fast=57, slow=186 |
4.4% | -35.7% | 0.33 | 0.12 | 3.2x | 28 | 61% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=9, mult=4 |
0.8% | -12.7% | 0.22 | 0.06 | 1.2x | 10 | 3% |
| Donchian 채널 돌파 entryN=116, exitN=71 |
1.7% | -34.8% | 0.19 | 0.05 | 1.6x | 34 | 47% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
0.3% | -6.0% | 0.17 | 0.05 | 1.1x | 4 | 1% |
| ADX / DI 방향성 period=32, threshold=30 |
0.4% | -16.3% | 0.14 | 0.03 | 1.1x | 8 | 2% |
| Supertrend period=34, mult=5 |
0.8% | -61.2% | 0.13 | 0.01 | 1.2x | 66 | 53% |
| ROC 모멘텀 n=140, threshold=-0.03 |
0.3% | -61.4% | 0.11 | 0.00 | 1.1x | 218 | 66% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-4.9% | -86.9% | -0.21 | -0.06 | 0.3x | 346 | 55% |
| MACD fast=19, slow=35, signal=19 |
-7.8% | -93.9% | -0.41 | -0.08 | 0.1x | 344 | 51% |
| Buy and hold | 4.2% | -64.8% | 0.29 | 0.06 | 3.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 56-day average falls below the 178-day average