Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Siemens Energy AG backtest
10 trend-following strategies were compared on the full daily history of Siemens Energy AG. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 39.0%, MDD -23.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 36.9%, drawdown -79.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 39.0%, MDD -23.3%, Sharpe 1.43, 33% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 51.1%, MDD -41.3%, exposure 56%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 56.3%p (CAGR 39.0%, MDD -23.3%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=9, mult=3.2 |
39.0% | -23.3% | 1.43 | 1.68 | 7.0x | 14 | 33% |
| ADX / DI 방향성 period=14, threshold=25 |
31.1% | -26.3% | 1.39 | 1.18 | 5.0x | 32 | 23% |
| SMA 크로스오버 fast=21, slow=91 |
51.1% | -41.3% | 1.26 | 1.24 | 11.5x | 8 | 56% |
| Donchian 채널 돌파 entryN=59, exitN=24 |
42.9% | -36.0% | 1.26 | 1.19 | 8.3x | 12 | 48% |
| EMA 크로스오버 fast=18, slow=174 |
47.4% | -41.3% | 1.20 | 1.15 | 9.9x | 3 | 52% |
| Supertrend period=21, mult=5 |
46.6% | -45.3% | 1.17 | 1.03 | 9.6x | 12 | 59% |
| ROC 모멘텀 n=103, threshold=0.02 |
42.2% | -40.9% | 1.11 | 1.03 | 8.0x | 14 | 55% |
| 볼린저 밴드 돌파 n=44, k=2.8 |
23.8% | -30.3% | 1.10 | 0.78 | 3.5x | 10 | 23% |
| Parabolic SAR step=0.035, maxStep=0.04 |
22.1% | -62.3% | 0.74 | 0.35 | 3.3x | 69 | 59% |
| MACD fast=16, slow=32, signal=15 |
9.6% | -48.6% | 0.45 | 0.20 | 1.7x | 80 | 51% |
| Buy and hold | 36.9% | -79.6% | 0.88 | 0.46 | 6.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 36-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 36-day average