Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Knorr-Bremse AG backtest
10 trend-following strategies were compared on the full daily history of Knorr-Bremse AG. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.7%, MDD -15.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.9%, drawdown -63.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -26.8%, Sharpe 0.49, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 3.7%, MDD -15.2%, exposure 10%).
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=85 |
8.2% | -26.8% | 0.49 | 0.31 | 1.8x | 27 | 52% |
| 볼린저 밴드 돌파 n=25, k=3.3 |
3.7% | -15.2% | 0.45 | 0.25 | 1.3x | 12 | 10% |
| Donchian 채널 돌파 entryN=54, exitN=77 |
4.2% | -32.5% | 0.30 | 0.13 | 1.4x | 15 | 62% |
| Supertrend period=28, mult=4.7 |
2.4% | -36.1% | 0.22 | 0.07 | 1.2x | 26 | 46% |
| EMA 크로스오버 fast=49, slow=71 |
2.1% | -37.6% | 0.20 | 0.06 | 1.2x | 17 | 55% |
| ROC 모멘텀 n=189, threshold=-0.04 |
1.8% | -44.3% | 0.19 | 0.04 | 1.2x | 45 | 63% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=10, mult=2.1 |
0.9% | -24.0% | 0.14 | 0.04 | 1.1x | 38 | 15% |
| MACD fast=12, slow=54, signal=13 |
-2.4% | -58.8% | -0.02 | -0.04 | 0.8x | 107 | 52% |
| ADX / DI 방향성 period=19, threshold=27 |
-0.8% | -17.2% | -0.04 | -0.05 | 0.9x | 18 | 10% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.2% | -47.7% | -0.11 | -0.09 | 0.7x | 76 | 50% |
| Buy and hold | 2.9% | -63.1% | 0.24 | 0.05 | 1.3x | 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 58-day average price crosses above the 85-day average
- Sell — Sell (to cash) when the 58-day average falls below the 85-day average