Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Rational Aktiengesellschaft backtest
10 trend-following strategies were compared on the full daily history of Rational Aktiengesellschaft. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.5%, MDD -51.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -65.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.4%, MDD -54.3%, Sharpe 0.53, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 11.6%p (CAGR 9.5%, MDD -51.9%, exposure 65%).
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=36, slow=142 |
10.4% | -54.3% | 0.53 | 0.19 | 13.8x | 54 | 64% |
| EMA 크로스오버 fast=59, slow=83 |
9.5% | -51.9% | 0.49 | 0.18 | 11.1x | 48 | 65% |
| ROC 모멘텀 n=128, threshold=-0.08 |
8.6% | -63.1% | 0.44 | 0.14 | 8.9x | 144 | 78% |
| Supertrend period=25, mult=5 |
6.1% | -62.2% | 0.37 | 0.10 | 4.9x | 88 | 60% |
| Donchian 채널 돌파 entryN=50, exitN=72 |
6.0% | -59.7% | 0.35 | 0.10 | 4.7x | 50 | 69% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=28, mult=3.5 |
2.6% | -44.7% | 0.23 | 0.06 | 2.0x | 76 | 34% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
0.7% | -30.2% | 0.12 | 0.02 | 1.2x | 44 | 16% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-0.2% | -66.8% | 0.11 | -0.00 | 0.9x | 346 | 56% |
| ADX / DI 방향성 period=38, threshold=26 |
0.4% | -17.9% | 0.10 | 0.02 | 1.1x | 16 | 4% |
| MACD fast=16, slow=52, signal=18 |
-0.7% | -59.1% | 0.08 | -0.01 | 0.8x | 302 | 51% |
| Buy and hold | 11.1% | -65.9% | 0.48 | 0.17 | 16.3x | 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 36-day average price crosses above the 142-day average
- Sell — Sell (to cash) when the 36-day average falls below the 142-day average