Trend-Following Backtester · Guide · backtest 한국어
equity · DE
SGL Carbon SE backtest
10 trend-following strategies were compared on the full daily history of SGL Carbon SE. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.1%, MDD -58.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.9%, drawdown -98.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.1%, MDD -58.6%, Sharpe 0.32, 47% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 5.1%, MDD -58.6%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=170 |
5.1% | -58.6% | 0.32 | 0.09 | 4.8x | 39 | 47% |
| EMA 크로스오버 fast=52, slow=88 |
4.5% | -70.7% | 0.30 | 0.06 | 4.0x | 53 | 46% |
| ROC 모멘텀 n=117, threshold=0.02 |
3.8% | -64.7% | 0.27 | 0.06 | 3.3x | 218 | 46% |
| Donchian 채널 돌파 entryN=116, exitN=70 |
3.8% | -61.0% | 0.27 | 0.06 | 3.2x | 32 | 38% |
| ADX / DI 방향성 period=33, threshold=21 |
2.0% | -64.6% | 0.21 | 0.03 | 1.9x | 58 | 10% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
2.0% | -71.1% | 0.20 | 0.03 | 1.9x | 110 | 29% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=17, mult=4 |
1.8% | -64.5% | 0.18 | 0.03 | 1.7x | 70 | 20% |
| Parabolic SAR step=0.005, maxStep=0.22 |
0.5% | -88.5% | 0.17 | 0.01 | 1.2x | 250 | 49% |
| Supertrend period=12, mult=3.2 |
-0.1% | -89.7% | 0.15 | -0.00 | 1.0x | 208 | 50% |
| MACD fast=25, slow=68, signal=40 |
-1.4% | -86.4% | 0.12 | -0.02 | 0.7x | 216 | 50% |
| Buy and hold | -5.9% | -98.2% | 0.11 | -0.06 | 0.1x | 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 59-day average price crosses above the 170-day average
- Sell — Sell (to cash) when the 59-day average falls below the 170-day average