Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Siemens Healthineers AG backtest
10 trend-following strategies were compared on the full daily history of Siemens Healthineers AG. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.9%, MDD -16.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.2%, drawdown -50.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.9%, MDD -16.1%, Sharpe 0.35, 15% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 34.2%p (CAGR 2.9%, MDD -16.1%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=63, exitN=6 |
2.9% | -16.1% | 0.35 | 0.18 | 1.3x | 27 | 15% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
1.2% | -32.3% | 0.18 | 0.04 | 1.1x | 17 | 17% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=23, mult=3.5 |
0.3% | -3.2% | 0.16 | 0.08 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=36, slow=57 |
-0.8% | -48.8% | 0.03 | -0.02 | 0.9x | 45 | 50% |
| Supertrend period=14, mult=2.2 |
-1.2% | -53.1% | 0.03 | -0.02 | 0.9x | 89 | 52% |
| ROC 모멘텀 n=30, threshold=0.06 |
-1.1% | -45.3% | -0.02 | -0.02 | 0.9x | 95 | 22% |
| MACD fast=17, slow=25, signal=14 |
-2.4% | -44.2% | -0.03 | -0.05 | 0.8x | 114 | 52% |
| ADX / DI 방향성 period=24, threshold=17 |
-1.4% | -28.9% | -0.09 | -0.05 | 0.9x | 42 | 18% |
| EMA 크로스오버 fast=20, slow=90 |
-4.8% | -44.7% | -0.21 | -0.11 | 0.7x | 31 | 46% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-7.1% | -62.6% | -0.29 | -0.11 | 0.5x | 148 | 54% |
| Buy and hold | 2.2% | -50.3% | 0.21 | 0.04 | 1.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 63 days
- Sell — Sell when price breaks below the lowest low of the last 6 days