Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Commerzbank AG backtest
10 trend-following strategies were compared on the full daily history of Commerzbank AG. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -24.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.5%, drawdown -99.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -67.4%, Sharpe 0.47, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 31.8%p (CAGR 0.3%, MDD -24.6%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=47, slow=221 |
9.1% | -67.4% | 0.47 | 0.14 | 13.4x | 29 | 49% |
| EMA 크로스오버 fast=56, slow=238 |
8.1% | -59.8% | 0.45 | 0.14 | 10.1x | 23 | 48% |
| Donchian 채널 돌파 entryN=19, exitN=71 |
8.3% | -62.2% | 0.40 | 0.13 | 10.7x | 67 | 75% |
| ROC 모멘텀 n=119, threshold=0.01 |
5.6% | -77.7% | 0.33 | 0.07 | 5.0x | 257 | 52% |
| 볼린저 밴드 돌파 n=46, k=1.8 |
4.2% | -63.7% | 0.29 | 0.07 | 3.4x | 147 | 34% |
| Supertrend period=8, mult=2.7 |
3.3% | -73.2% | 0.25 | 0.05 | 2.6x | 247 | 50% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=25, mult=1.7 |
3.0% | -63.3% | 0.24 | 0.05 | 2.4x | 193 | 36% |
| MACD fast=13, slow=60, signal=10 |
-2.3% | -87.7% | 0.08 | -0.03 | 0.5x | 443 | 51% |
| ADX / DI 방향성 period=21, threshold=34 |
0.3% | -24.6% | 0.08 | 0.01 | 1.1x | 22 | 3% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-3.0% | -94.6% | 0.04 | -0.03 | 0.4x | 547 | 52% |
| Buy and hold | -4.5% | -99.2% | 0.12 | -0.05 | 0.3x | 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 47-day average price crosses above the 221-day average
- Sell — Sell (to cash) when the 47-day average falls below the 221-day average