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 8.1%, MDD -22.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -32.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.1%, MDD -22.3%, Sharpe 0.52, 75% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 9.7%p (CAGR 8.1%, MDD -22.3%, exposure 75%).
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=8, slow=375 |
8.1% | -22.3% | 0.52 | 0.37 | 3.1x | 14 | 75% |
| ROC 모멘텀 n=238, threshold=-0.13 |
8.0% | -36.9% | 0.47 | 0.22 | 3.1x | 30 | 90% |
| Donchian 채널 돌파 entryN=62, exitN=64 |
6.3% | -23.6% | 0.44 | 0.27 | 2.4x | 22 | 62% |
| SMA 크로스오버 fast=21, slow=175 |
4.9% | -29.2% | 0.36 | 0.17 | 2.0x | 30 | 67% |
| Parabolic SAR step=0.005, maxStep=0.34 |
3.8% | -29.9% | 0.31 | 0.13 | 1.7x | 119 | 55% |
| ADX / DI 방향성 period=10, threshold=37 |
1.3% | -20.1% | 0.23 | 0.06 | 1.2x | 76 | 13% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=2.7 |
1.0% | -33.6% | 0.15 | 0.03 | 1.2x | 48 | 30% |
| Supertrend period=25, mult=4.5 |
-0.4% | -41.0% | 0.06 | -0.01 | 0.9x | 50 | 62% |
| 볼린저 밴드 돌파 n=49, k=2.8 |
0.0% | -25.7% | 0.05 | 0.00 | 1.0x | 30 | 17% |
| MACD fast=19, slow=27, signal=16 |
-0.9% | -51.2% | 0.03 | -0.02 | 0.9x | 199 | 49% |
| Buy and hold | 10.7% | -32.0% | 0.56 | 0.34 | 4.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 375-day EMA
- Sell — Sell when the 8-day EMA falls below the 375-day EMA