Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Munchener Ruckversicherungs-Gesellschaft AG backtest
10 trend-following strategies were compared on the full daily history of Munchener Ruckversicherungs-Gesellschaft AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.6%, MDD -56.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.1%, drawdown -86.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.2%, MDD -60.8%, Sharpe 0.31, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 25.8%p (CAGR 3.6%, MDD -56.6%, exposure 63%).
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=47, slow=229 |
4.2% | -60.8% | 0.31 | 0.07 | 3.2x | 38 | 60% |
| EMA 크로스오버 fast=93, slow=182 |
3.6% | -56.6% | 0.28 | 0.06 | 2.7x | 30 | 63% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
0.7% | -15.1% | 0.15 | 0.05 | 1.2x | 4 | 2% |
| Donchian 채널 돌파 entryN=73, exitN=63 |
1.0% | -62.9% | 0.15 | 0.02 | 1.3x | 50 | 51% |
| ROC 모멘텀 n=122, threshold=-0.11 |
-0.9% | -74.2% | 0.07 | -0.01 | 0.8x | 191 | 82% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=26, mult=3.8 |
-0.8% | -45.9% | -0.05 | -0.02 | 0.8x | 58 | 14% |
| ADX / DI 방향성 period=33, threshold=13 |
-1.5% | -59.7% | -0.06 | -0.03 | 0.6x | 183 | 25% |
| Supertrend period=20, mult=4.4 |
-3.4% | -82.7% | -0.07 | -0.04 | 0.4x | 119 | 57% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.5% | -79.0% | -0.08 | -0.04 | 0.4x | 271 | 53% |
| MACD fast=12, slow=37, signal=19 |
-5.9% | -89.2% | -0.20 | -0.07 | 0.2x | 379 | 51% |
| Buy and hold | 3.1% | -86.6% | 0.25 | 0.04 | 2.3x | 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 47-day average price crosses above the 229-day average
- Sell — Sell (to cash) when the 47-day average falls below the 229-day average