Trend-Following Backtester · Guide · backtest 한국어

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Siemens AG backtest

10 trend-following strategies were compared on the full daily history of Siemens AG. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.

Data 1996-11-08 ~ 2026-07-31daily bars 7,613 (29.7 years)Costs 0.5%Venue XETRMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 8.9%, drawdown -74.9%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.1%, MDD -37.7%, Sharpe 0.37, 22% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 5.9%, MDD -51.4%, exposure 65%.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=66, k=2.7
4.1%-37.7%0.370.113.3x4622%
Donchian 채널 돌파
entryN=54, exitN=74
5.9%-51.4%0.360.125.6x5965%
EMA 크로스오버
fast=46, slow=88
5.2%-56.0%0.340.094.5x6564%
SMA 크로스오버
fast=51, slow=78
5.1%-65.1%0.330.084.4x10561%
Supertrend
period=12, mult=4.8
4.8%-62.8%0.320.084.0x9758%
ROC 모멘텀
n=139, threshold=-0.03
3.4%-63.4%0.260.052.7x21566%
Keltner 채널 돌파
emaPeriod=50, atrPeriod=25, mult=3.9
1.9%-49.5%0.210.041.7x7221%
ADX / DI 방향성
period=25, threshold=34
1.0%-20.5%0.190.051.4x122%
MACD
fast=17, slow=23, signal=9
0.0%-83.8%0.110.001.0x53350%
Parabolic SAR
step=0.01, maxStep=0.32
-1.9%-84.0%0.03-0.020.6x45355%
Buy and hold8.9%-74.9%0.420.1212.8x1100%
1x 10x 1997 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -19% -37% -56% -75% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -37.7% (1997-07-28 → 1999-05-31), recovered after 911 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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