Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Carl Zeiss Meditec AG backtest
10 trend-following strategies were compared on the full daily history of Carl Zeiss Meditec AG. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.8%, MDD -27.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.7%, drawdown -91.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -42.6%, Sharpe 0.50, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 49.1%p (CAGR 3.8%, MDD -27.2%, exposure 15%).
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=59, slow=150 |
9.3% | -42.6% | 0.50 | 0.22 | 10.5x | 40 | 57% |
| EMA 크로스오버 fast=47, slow=219 |
7.2% | -45.4% | 0.43 | 0.16 | 6.3x | 26 | 55% |
| 볼린저 밴드 돌파 n=104, k=3.4 |
3.8% | -27.2% | 0.39 | 0.14 | 2.7x | 17 | 15% |
| Donchian 채널 돌파 entryN=115, exitN=71 |
4.4% | -57.7% | 0.31 | 0.08 | 3.1x | 33 | 49% |
| ROC 모멘텀 n=117, threshold=-0.03 |
4.5% | -68.4% | 0.30 | 0.07 | 3.2x | 193 | 60% |
| Parabolic SAR step=0.01, maxStep=0.34 |
1.7% | -64.6% | 0.19 | 0.03 | 1.6x | 328 | 52% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=23, mult=2 |
1.0% | -61.3% | 0.15 | 0.02 | 1.3x | 119 | 42% |
| MACD fast=18, slow=53, signal=9 |
-1.1% | -72.8% | 0.11 | -0.01 | 0.8x | 363 | 51% |
| Supertrend period=29, mult=3.1 |
-0.4% | -64.9% | 0.11 | -0.01 | 0.9x | 180 | 52% |
| ADX / DI 방향성 period=34, threshold=17 |
0.1% | -58.0% | 0.09 | 0.00 | 1.0x | 130 | 22% |
| Buy and hold | 0.7% | -91.7% | 0.23 | 0.01 | 1.2x | 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 59-day average price crosses above the 150-day average
- Sell — Sell (to cash) when the 59-day average falls below the 150-day average