Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Rheinmetall AG backtest
10 trend-following strategies were compared on the full daily history of Rheinmetall AG. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.6%, MDD -41.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.2%, drawdown -77.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.4%, MDD -47.8%, Sharpe 0.72, 63% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 15.6%, MDD -41.5%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=84, slow=166 |
17.4% | -47.8% | 0.72 | 0.36 | 88.2x | 24 | 63% |
| Donchian 채널 돌파 entryN=100, exitN=46 |
15.6% | -41.5% | 0.71 | 0.38 | 58.0x | 44 | 47% |
| SMA 크로스오버 fast=62, slow=107 |
15.9% | -60.7% | 0.66 | 0.26 | 62.5x | 60 | 61% |
| ADX / DI 방향성 period=34, threshold=11 |
11.7% | -62.4% | 0.57 | 0.19 | 22.0x | 254 | 43% |
| 볼린저 밴드 돌파 n=53, k=1.9 |
10.8% | -40.2% | 0.56 | 0.27 | 17.8x | 118 | 37% |
| ROC 모멘텀 n=142, threshold=0.05 |
11.4% | -47.9% | 0.54 | 0.24 | 20.5x | 212 | 56% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=12, mult=3.5 |
9.1% | -30.0% | 0.54 | 0.30 | 11.6x | 86 | 29% |
| Supertrend period=26, mult=5 |
11.7% | -60.2% | 0.53 | 0.19 | 21.9x | 94 | 59% |
| MACD fast=23, slow=56, signal=21 |
10.2% | -54.5% | 0.49 | 0.19 | 15.1x | 233 | 50% |
| Parabolic SAR step=0.015, maxStep=0.22 |
4.4% | -84.7% | 0.29 | 0.05 | 3.4x | 489 | 53% |
| Buy and hold | 14.2% | -77.3% | 0.53 | 0.18 | 40.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 84-day EMA crosses above the 166-day EMA
- Sell — Sell when the 84-day EMA falls below the 166-day EMA