Trend-Following Backtester · Guide · backtest 한국어
equity · DE
AIXTRON SE backtest
10 trend-following strategies were compared on the full daily history of AIXTRON SE. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.8%, MDD -54.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.8%, drawdown -98.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.8%, MDD -54.3%, Sharpe 0.52, 12% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.7%, MDD -72.3%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 9.8%, MDD -54.3%, exposure 12%).
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=39, threshold=20 |
9.8% | -54.3% | 0.52 | 0.18 | 14.7x | 34 | 12% |
| EMA 크로스오버 fast=54, slow=68 |
12.7% | -72.3% | 0.44 | 0.18 | 31.0x | 54 | 49% |
| Donchian 채널 돌파 entryN=92, exitN=97 |
12.3% | -76.3% | 0.44 | 0.16 | 28.3x | 33 | 51% |
| SMA 크로스오버 fast=54, slow=206 |
11.6% | -77.8% | 0.41 | 0.15 | 23.3x | 33 | 47% |
| Supertrend period=22, mult=5 |
9.6% | -84.1% | 0.39 | 0.11 | 13.9x | 90 | 48% |
| ROC 모멘텀 n=114, threshold=-0.02 |
8.6% | -88.1% | 0.38 | 0.10 | 10.9x | 221 | 51% |
| 볼린저 밴드 돌파 n=39, k=3.3 |
5.6% | -73.3% | 0.36 | 0.08 | 4.8x | 52 | 15% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=9, mult=1.2 |
6.2% | -80.4% | 0.33 | 0.08 | 5.6x | 242 | 41% |
| Parabolic SAR step=0.03, maxStep=0.14 |
4.6% | -93.3% | 0.31 | 0.05 | 3.7x | 692 | 49% |
| MACD fast=15, slow=87, signal=11 |
1.5% | -97.1% | 0.26 | 0.02 | 1.5x | 358 | 53% |
| Buy and hold | 3.8% | -98.6% | 0.37 | 0.04 | 2.9x | 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, 39-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)