Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Salzgitter AG backtest
10 trend-following strategies were compared on the full daily history of Salzgitter AG. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.3%, MDD -70.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.5%, drawdown -94.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.7%, MDD -79.8%, Sharpe 0.61, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 14.8%p (CAGR 14.3%, MDD -70.3%, exposure 55%).
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=49, slow=119 |
14.7% | -79.8% | 0.61 | 0.18 | 45.2x | 37 | 54% |
| SMA 크로스오버 fast=17, slow=156 |
14.3% | -70.3% | 0.59 | 0.20 | 40.3x | 67 | 55% |
| ROC 모멘텀 n=120, threshold=-0.02 |
12.2% | -81.5% | 0.53 | 0.15 | 24.3x | 161 | 59% |
| Donchian 채널 돌파 entryN=78, exitN=77 |
10.0% | -85.1% | 0.46 | 0.12 | 14.0x | 39 | 58% |
| Supertrend period=30, mult=4.7 |
7.0% | -80.0% | 0.38 | 0.09 | 6.5x | 92 | 52% |
| ADX / DI 방향성 period=30, threshold=20 |
4.8% | -43.1% | 0.38 | 0.11 | 3.7x | 88 | 15% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=2.7 |
5.3% | -56.6% | 0.35 | 0.09 | 4.2x | 100 | 31% |
| 볼린저 밴드 돌파 n=59, k=2.8 |
4.4% | -57.5% | 0.33 | 0.08 | 3.3x | 50 | 20% |
| Parabolic SAR step=0.035, maxStep=0.08 |
2.2% | -87.4% | 0.22 | 0.03 | 1.8x | 560 | 53% |
| MACD fast=14, slow=36, signal=16 |
-0.8% | -82.4% | 0.13 | -0.01 | 0.8x | 383 | 51% |
| Buy and hold | 6.5% | -94.7% | 0.36 | 0.07 | 5.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 119-day EMA
- Sell — Sell when the 49-day EMA falls below the 119-day EMA