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. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.6%, MDD -39.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.9%, drawdown -64.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -39.5%, Sharpe 0.44, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 6.6%, MDD -39.5%, exposure 59%).
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=58, slow=197 |
6.6% | -39.5% | 0.44 | 0.17 | 5.4x | 26 | 59% |
| EMA 크로스오버 fast=70, slow=176 |
4.4% | -37.5% | 0.33 | 0.12 | 3.2x | 28 | 62% |
| ROC 모멘텀 n=170, threshold=-0.13 |
3.8% | -55.8% | 0.28 | 0.07 | 2.7x | 103 | 83% |
| Donchian 채널 돌파 entryN=116, exitN=71 |
1.7% | -34.8% | 0.19 | 0.05 | 1.6x | 34 | 47% |
| ADX / DI 방향성 period=36, threshold=27 |
0.5% | -19.0% | 0.15 | 0.02 | 1.1x | 12 | 3% |
| Supertrend period=28, mult=4.9 |
0.2% | -60.2% | 0.10 | 0.00 | 1.1x | 70 | 53% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=15, mult=3.3 |
-0.3% | -35.2% | 0.03 | -0.01 | 0.9x | 70 | 23% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
-0.8% | -34.8% | -0.04 | -0.02 | 0.8x | 60 | 18% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-4.8% | -86.9% | -0.20 | -0.06 | 0.3x | 345 | 55% |
| MACD fast=19, slow=35, signal=19 |
-7.8% | -93.9% | -0.40 | -0.08 | 0.1x | 343 | 51% |
| Buy and hold | 4.9% | -64.8% | 0.32 | 0.08 | 3.5x | 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 58-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 58-day average falls below the 197-day average