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; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.5%, MDD -10.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -8.8%, drawdown -70.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.5%, MDD -13.9%, Sharpe 0.54, 16% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.3%p higher than buy and hold, while drawdown improves by 56.4%p (CAGR 1.5%, MDD -10.1%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=27, threshold=16 |
6.5% | -13.9% | 0.54 | 0.47 | 1.6x | 15 | 16% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=10, mult=4 |
1.5% | -10.1% | 0.28 | 0.15 | 1.1x | 3 | 6% |
| Donchian 채널 돌파 entryN=107, exitN=26 |
2.1% | -26.0% | 0.22 | 0.08 | 1.2x | 9 | 18% |
| SMA 크로스오버 fast=52, slow=112 |
2.3% | -35.5% | 0.21 | 0.07 | 1.2x | 17 | 36% |
| ROC 모멘텀 n=111, threshold=0.11 |
1.3% | -26.4% | 0.16 | 0.05 | 1.1x | 35 | 16% |
| EMA 크로스오버 fast=12, slow=227 |
1.1% | -32.6% | 0.14 | 0.03 | 1.1x | 13 | 21% |
| 볼린저 밴드 돌파 n=17, k=3.4 |
-0.5% | -12.3% | -0.08 | -0.04 | 1.0x | 3 | 2% |
| Supertrend period=17, mult=2.8 |
-5.3% | -55.4% | -0.16 | -0.10 | 0.7x | 55 | 46% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-13.1% | -73.9% | -0.57 | -0.18 | 0.3x | 162 | 49% |
| MACD fast=13, slow=57, signal=9 |
-13.5% | -73.6% | -0.63 | -0.18 | 0.3x | 122 | 51% |
| Buy and hold | -8.8% | -70.3% | -0.14 | -0.12 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 27-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)