Trend-Following Backtester · Guide · backtest 한국어
equity · AT
voestalpine AG backtest
10 trend-following strategies were compared on the full daily history of voestalpine AG. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.7%, MDD -29.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.0%, drawdown -85.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.5%, MDD -30.4%, Sharpe 0.71, 28% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.8%, MDD -44.6%, exposure 58%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 55.1%p (CAGR 7.7%, MDD -29.9%, exposure 18%).
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=44, atrPeriod=20, mult=3 |
10.5% | -30.4% | 0.71 | 0.35 | 14.3x | 74 | 28% |
| 볼린저 밴드 돌파 n=42, k=2.8 |
7.7% | -29.9% | 0.65 | 0.26 | 7.1x | 46 | 18% |
| Donchian 채널 돌파 entryN=82, exitN=39 |
11.0% | -36.5% | 0.62 | 0.30 | 16.1x | 50 | 43% |
| Supertrend period=14, mult=5 |
11.6% | -51.3% | 0.60 | 0.23 | 18.5x | 72 | 51% |
| EMA 크로스오버 fast=32, slow=100 |
11.8% | -44.6% | 0.59 | 0.26 | 19.4x | 43 | 58% |
| SMA 크로스오버 fast=9, slow=108 |
10.8% | -45.2% | 0.55 | 0.24 | 15.3x | 101 | 57% |
| ROC 모멘텀 n=81, threshold=-0.02 |
10.9% | -50.2% | 0.55 | 0.22 | 15.6x | 227 | 59% |
| MACD fast=20, slow=49, signal=28 |
8.5% | -45.1% | 0.45 | 0.19 | 8.8x | 217 | 53% |
| Parabolic SAR step=0.005, maxStep=0.26 |
7.5% | -52.1% | 0.42 | 0.14 | 6.8x | 223 | 55% |
| ADX / DI 방향성 period=30, threshold=31 |
1.3% | -8.8% | 0.34 | 0.15 | 1.4x | 6 | 3% |
| Buy and hold | 6.0% | -85.5% | 0.34 | 0.07 | 4.6x | 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 44-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 44-day average