Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Merck KGaA backtest
10 trend-following strategies were compared on the full daily history of Merck KGaA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.3%, MDD -50.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.3%, drawdown -63.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.3%, MDD -50.8%, Sharpe 0.39, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 12.9%p (CAGR 6.3%, MDD -50.8%, exposure 57%).
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=70, slow=204 |
6.3% | -50.8% | 0.39 | 0.12 | 5.5x | 37 | 57% |
| Donchian 채널 돌파 entryN=80, exitN=46 |
4.9% | -48.1% | 0.34 | 0.10 | 3.8x | 51 | 49% |
| EMA 크로스오버 fast=16, slow=184 |
3.3% | -55.2% | 0.26 | 0.06 | 2.5x | 67 | 56% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=22, mult=3.8 |
0.4% | -8.5% | 0.24 | 0.05 | 1.1x | 4 | 1% |
| Supertrend period=14, mult=4.7 |
1.7% | -61.9% | 0.18 | 0.03 | 1.6x | 93 | 54% |
| 볼린저 밴드 돌파 n=54, k=2.8 |
1.4% | -35.0% | 0.17 | 0.04 | 1.5x | 69 | 25% |
| ADX / DI 방향성 period=37, threshold=20 |
1.0% | -27.9% | 0.17 | 0.04 | 1.3x | 44 | 9% |
| ROC 모멘텀 n=125, threshold=0.08 |
0.6% | -51.1% | 0.12 | 0.01 | 1.2x | 233 | 39% |
| MACD fast=16, slow=58, signal=26 |
-0.2% | -58.2% | 0.09 | -0.00 | 1.0x | 258 | 53% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.6% | -75.4% | -0.02 | -0.03 | 0.5x | 243 | 53% |
| Buy and hold | 7.3% | -63.7% | 0.38 | 0.11 | 7.2x | 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 70-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 70-day average falls below the 204-day average