Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Continental AG backtest
10 trend-following strategies were compared on the full daily history of Continental AG. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.3%, MDD -52.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.6%, drawdown -89.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.3%, MDD -61.4%, Sharpe 0.52, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 12.3%, MDD -52.7%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=63, slow=111 |
12.3% | -61.4% | 0.52 | 0.20 | 31.5x | 45 | 60% |
| SMA 크로스오버 fast=35, slow=162 |
12.3% | -52.7% | 0.51 | 0.23 | 30.9x | 47 | 58% |
| Supertrend period=28, mult=4.5 |
12.2% | -61.6% | 0.51 | 0.20 | 30.6x | 93 | 58% |
| Donchian 채널 돌파 entryN=99, exitN=67 |
10.2% | -58.1% | 0.47 | 0.18 | 17.8x | 40 | 48% |
| ROC 모멘텀 n=113, threshold=0.09 |
9.2% | -53.5% | 0.44 | 0.17 | 13.6x | 258 | 43% |
| 볼린저 밴드 돌파 n=46, k=1 |
6.7% | -72.9% | 0.35 | 0.09 | 6.8x | 224 | 48% |
| ADX / DI 방향성 period=49, threshold=35 |
0.8% | -7.9% | 0.30 | 0.10 | 1.2x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=28, mult=2.1 |
4.9% | -64.7% | 0.29 | 0.08 | 4.1x | 152 | 41% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-1.2% | -91.1% | 0.09 | -0.01 | 0.7x | 554 | 54% |
| MACD fast=8, slow=34, signal=16 |
-3.2% | -89.7% | 0.03 | -0.04 | 0.4x | 540 | 50% |
| Buy and hold | 9.6% | -89.6% | 0.41 | 0.11 | 15.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 63-day EMA crosses above the 111-day EMA
- Sell — Sell when the 63-day EMA falls below the 111-day EMA