Trend-Following Backtester · Guide · backtest 한국어
equity · CH
BKW AG backtest
10 trend-following strategies were compared on the full daily history of BKW AG. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.9%, MDD -22.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -36.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.9%, MDD -22.8%, Sharpe 0.50, 73% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.4%, MDD -42.4%, exposure 85%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 13.6%p (CAGR 7.9%, MDD -22.8%, exposure 73%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=20, slow=289 |
7.9% | -22.8% | 0.50 | 0.34 | 3.1x | 12 | 73% |
| ROC 모멘텀 n=129, threshold=-0.09 |
8.4% | -42.4% | 0.49 | 0.20 | 3.3x | 56 | 85% |
| Donchian 채널 돌파 entryN=59, exitN=66 |
6.4% | -24.2% | 0.45 | 0.26 | 2.5x | 22 | 62% |
| SMA 크로스오버 fast=21, slow=166 |
5.9% | -28.8% | 0.42 | 0.20 | 2.3x | 26 | 65% |
| 볼린저 밴드 돌파 n=19, k=3.4 |
1.7% | -10.8% | 0.39 | 0.16 | 1.3x | 12 | 4% |
| Parabolic SAR step=0.005, maxStep=0.18 |
3.6% | -29.9% | 0.30 | 0.12 | 1.7x | 120 | 55% |
| ADX / DI 방향성 period=10, threshold=38 |
1.5% | -21.5% | 0.27 | 0.07 | 1.3x | 68 | 12% |
| Supertrend period=6, mult=5 |
2.3% | -39.0% | 0.22 | 0.06 | 1.4x | 44 | 61% |
| MACD fast=19, slow=29, signal=25 |
0.9% | -37.5% | 0.14 | 0.03 | 1.1x | 160 | 50% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=10, mult=2.5 |
0.7% | -39.6% | 0.12 | 0.02 | 1.1x | 52 | 29% |
| Buy and hold | 9.6% | -36.4% | 0.51 | 0.26 | 3.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 20-day EMA crosses above the 289-day EMA
- Sell — Sell when the 20-day EMA falls below the 289-day EMA