Trend-Following Backtester · Guide · backtest 한국어

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MTU Aero Engines AG backtest

10 trend-following strategies were compared on the full daily history of MTU Aero Engines AG. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2005-06-06 ~ 2026-07-31daily bars 5,377 (21.1 years)Costs 0.5%Venue XETRMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 14.4%, drawdown -74.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -41.1%, Sharpe 0.48, 63% exposure.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=95, exitN=78
8.7%-41.1%0.480.215.9x2863%
Supertrend
period=24, mult=4.5
8.4%-47.8%0.460.185.5x6964%
SMA 크로스오버
fast=55, slow=217
8.5%-62.3%0.450.145.6x2666%
EMA 크로스오버
fast=17, slow=106
8.0%-53.1%0.440.155.1x7567%
ROC 모멘텀
n=121, threshold=0.12
6.4%-42.6%0.420.153.7x16643%
볼린저 밴드 돌파
n=45, k=3.4
2.7%-11.6%0.400.231.7x1410%
MACD
fast=26, slow=52, signal=37
5.0%-56.1%0.330.092.8x15550%
Keltner 채널 돌파
emaPeriod=49, atrPeriod=10, mult=3.7
2.5%-30.7%0.270.081.7x5025%
ADX / DI 방향성
period=29, threshold=20
1.3%-18.6%0.170.071.3x6815%
Parabolic SAR
step=0.005, maxStep=0.36
0.1%-55.0%0.130.001.0x20059%
Buy and hold14.4%-74.7%0.550.1917.1x1100%
1x 10x 2006 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -37% -56% -75% 2006 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -41.1% (2025-03-05 → 2026-03-20), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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