Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Gerresheimer AG backtest
10 trend-following strategies were compared on the full daily history of Gerresheimer AG. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -9.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.7%, drawdown -87.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.8%, MDD -44.6%, Sharpe 0.28, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 0.9%, MDD -9.8%, exposure 1%).
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=58, slow=208 |
3.8% | -44.6% | 0.28 | 0.09 | 2.1x | 29 | 56% |
| ADX / DI 방향성 period=38, threshold=27 |
0.9% | -9.8% | 0.25 | 0.09 | 1.2x | 2 | 1% |
| EMA 크로스오버 fast=124, slow=221 |
3.0% | -44.9% | 0.24 | 0.07 | 1.7x | 12 | 60% |
| Donchian 채널 돌파 entryN=77, exitN=63 |
1.1% | -58.6% | 0.15 | 0.02 | 1.2x | 31 | 48% |
| ROC 모멘텀 n=147, threshold=-0.03 |
-2.4% | -63.7% | -0.00 | -0.04 | 0.6x | 175 | 59% |
| Supertrend period=25, mult=4.4 |
-2.7% | -59.1% | -0.03 | -0.05 | 0.6x | 77 | 51% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=25, mult=4 |
-0.7% | -28.3% | -0.11 | -0.02 | 0.9x | 16 | 4% |
| 볼린저 밴드 돌파 n=25, k=2.7 |
-2.0% | -48.1% | -0.15 | -0.04 | 0.7x | 62 | 13% |
| MACD fast=17, slow=55, signal=18 |
-9.3% | -89.9% | -0.25 | -0.10 | 0.2x | 220 | 50% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-15.5% | -96.9% | -0.54 | -0.16 | 0.0x | 355 | 53% |
| Buy and hold | -1.7% | -87.1% | 0.13 | -0.02 | 0.7x | 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 58-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 58-day average falls below the 208-day average