Trend-Following Backtester · Guide · backtest 한국어

equity · CH

Stadler Rail AG backtest

10 trend-following strategies were compared on the full daily history of Stadler Rail AG. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -7.9%).

Data 2019-04-11 ~ 2026-07-31daily bars 1,834 (7.3 years)Costs 0.5%Venue SIXMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR -11.6%, drawdown -70.3%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.4%, MDD -8.0%, Sharpe 0.30, 4% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 62.4%p (CAGR 0.8%, MDD -7.9%, exposure 3%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=35, atrPeriod=11, mult=3.8
1.4%-8.0%0.300.181.1x24%
ADX / DI 방향성
period=36, threshold=21
0.8%-7.9%0.290.111.1x23%
Donchian 채널 돌파
entryN=106, exitN=25
-0.8%-26.0%-0.03-0.030.9x916%
SMA 크로스오버
fast=54, slow=135
-2.0%-40.6%-0.04-0.050.9x1733%
볼린저 밴드 돌파
n=17, k=3.5
-0.7%-8.4%-0.18-0.081.0x21%
EMA 크로스오버
fast=8, slow=237
-2.8%-37.7%-0.19-0.070.8x1719%
ROC 모멘텀
n=65, threshold=0.14
-2.3%-22.0%-0.31-0.100.8x336%
Supertrend
period=20, mult=2.8
-8.2%-55.3%-0.35-0.150.5x5545%
MACD
fast=17, slow=57, signal=13
-13.7%-71.5%-0.66-0.190.3x10151%
Parabolic SAR
step=0.02, maxStep=0.38
-15.2%-73.9%-0.76-0.210.3x15949%
Buy and hold-11.6%-70.3%-0.27-0.170.4x1100%
1x 2020 2021 2022 2023 2024 2025 2026 Keltner 채널 돌파Buy and hold
Keltner 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -35% -53% -70% 2020 2021 2022 2023 2024 2025 2026 Buy and holdKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -8.0% (2022-11-14 → 2022-12-08), recovered after 51 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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