Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Krones AG backtest
10 trend-following strategies were compared on the full daily history of Krones AG. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -65.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.1%, MDD -67.3%, Sharpe 0.45, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.15 |
10.1% | -67.3% | 0.45 | 0.15 | 14.4x | 7 | 100% |
| EMA 크로스오버 fast=37, slow=195 |
6.8% | -45.5% | 0.39 | 0.15 | 6.2x | 42 | 68% |
| Donchian 채널 돌파 entryN=49, exitN=93 |
6.3% | -56.4% | 0.36 | 0.11 | 5.5x | 42 | 79% |
| SMA 크로스오버 fast=56, slow=208 |
5.1% | -53.1% | 0.33 | 0.10 | 4.0x | 40 | 66% |
| ADX / DI 방향성 period=43, threshold=12 |
1.4% | -34.4% | 0.17 | 0.04 | 1.5x | 137 | 30% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=21, mult=3.1 |
-0.4% | -53.9% | 0.07 | -0.01 | 0.9x | 108 | 40% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
0.2% | -35.5% | 0.07 | 0.01 | 1.1x | 26 | 10% |
| Supertrend period=9, mult=5 |
-2.0% | -73.5% | 0.03 | -0.03 | 0.6x | 120 | 56% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-4.8% | -84.7% | -0.10 | -0.06 | 0.3x | 341 | 53% |
| MACD fast=19, slow=30, signal=19 |
-9.6% | -95.1% | -0.30 | -0.10 | 0.1x | 369 | 51% |
| Buy and hold | 10.6% | -65.7% | 0.46 | 0.16 | 16.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 2-day return is greater than -15%
- Sell — Sell when the 2-day return drops to -15% or below