Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Bayerische Motoren Werke AG backtest
10 trend-following strategies were compared on the full daily history of Bayerische Motoren Werke AG. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.0%, drawdown -69.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.3%, MDD -69.5%, Sharpe 0.21, 55% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=52, slow=118 |
2.3% | -69.5% | 0.21 | 0.03 | 2.0x | 70 | 55% |
| ADX / DI 방향성 period=32, threshold=26 |
0.9% | -18.5% | 0.20 | 0.05 | 1.3x | 8 | 2% |
| Donchian 채널 돌파 entryN=8, exitN=63 |
1.7% | -76.5% | 0.20 | 0.02 | 1.7x | 113 | 85% |
| Supertrend period=19, mult=4.6 |
1.8% | -62.2% | 0.19 | 0.03 | 1.7x | 102 | 53% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
0.8% | -18.0% | 0.16 | 0.04 | 1.3x | 10 | 3% |
| EMA 크로스오버 fast=23, slow=76 |
-0.2% | -70.2% | 0.10 | -0.00 | 0.9x | 110 | 55% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=8, mult=4 |
0.3% | -36.9% | 0.08 | 0.01 | 1.1x | 42 | 9% |
| ROC 모멘텀 n=58, threshold=-0.04 |
-2.0% | -80.5% | 0.04 | -0.02 | 0.5x | 366 | 68% |
| MACD fast=24, slow=35, signal=11 |
-7.5% | -92.4% | -0.21 | -0.08 | 0.1x | 405 | 50% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-9.5% | -95.5% | -0.31 | -0.10 | 0.1x | 679 | 52% |
| Buy and hold | 4.0% | -69.3% | 0.28 | 0.06 | 3.2x | 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 52-day average price crosses above the 118-day average
- Sell — Sell (to cash) when the 52-day average falls below the 118-day average