Trend-Following Backtester · Guide · backtest 한국어
equity · CH
ams-OSRAM AG backtest
10 trend-following strategies were compared on the full daily history of ams-OSRAM AG. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.9%, MDD -29.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.4%, drawdown -98.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.1%, MDD -59.8%, Sharpe 0.74, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.5%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 3.9%, MDD -29.3%, exposure 5%).
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=42, slow=123 |
22.1% | -59.8% | 0.74 | 0.37 | 87.5x | 33 | 53% |
| ROC 모멘텀 n=102, threshold=0.12 |
19.7% | -52.3% | 0.72 | 0.38 | 56.1x | 107 | 43% |
| EMA 크로스오버 fast=22, slow=122 |
18.7% | -70.9% | 0.68 | 0.26 | 46.2x | 33 | 49% |
| Donchian 채널 돌파 entryN=81, exitN=76 |
15.3% | -79.9% | 0.58 | 0.19 | 24.4x | 27 | 53% |
| 볼린저 밴드 돌파 n=46, k=3.2 |
6.6% | -36.0% | 0.44 | 0.18 | 4.2x | 39 | 17% |
| Supertrend period=15, mult=3.4 |
8.8% | -82.6% | 0.42 | 0.11 | 6.6x | 129 | 57% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=17, mult=2.5 |
7.6% | -78.1% | 0.40 | 0.10 | 5.1x | 89 | 35% |
| ADX / DI 방향성 period=27, threshold=29 |
3.9% | -29.3% | 0.36 | 0.13 | 2.4x | 18 | 5% |
| Parabolic SAR step=0.01, maxStep=0.12 |
5.5% | -89.8% | 0.33 | 0.06 | 3.3x | 275 | 54% |
| MACD fast=18, slow=21, signal=15 |
0.5% | -90.8% | 0.22 | 0.01 | 1.1x | 321 | 51% |
| Buy and hold | -0.4% | -98.8% | 0.27 | -0.00 | 0.9x | 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 42-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 42-day average falls below the 123-day average