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 14.6%, MDD -70.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.8%, drawdown -94.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.1%, MDD -79.8%, Sharpe 0.62, 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 14.6%, 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 |
15.1% | -79.8% | 0.62 | 0.19 | 49.9x | 37 | 54% |
| SMA 크로스오버 fast=17, slow=156 |
14.6% | -70.3% | 0.60 | 0.21 | 44.5x | 67 | 55% |
| ROC 모멘텀 n=120, threshold=-0.02 |
12.1% | -81.5% | 0.52 | 0.15 | 24.2x | 165 | 58% |
| Donchian 채널 돌파 entryN=78, exitN=77 |
10.4% | -85.1% | 0.47 | 0.12 | 15.5x | 39 | 58% |
| ADX / DI 방향성 period=30, threshold=20 |
4.8% | -43.1% | 0.38 | 0.11 | 3.7x | 88 | 15% |
| Supertrend period=30, mult=4.7 |
6.8% | -80.0% | 0.37 | 0.09 | 6.3x | 93 | 52% |
| 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 |
4.3% | -57.5% | 0.33 | 0.08 | 3.3x | 50 | 19% |
| Parabolic SAR step=0.035, maxStep=0.08 |
2.2% | -87.4% | 0.22 | 0.03 | 1.8x | 563 | 53% |
| MACD fast=14, slow=36, signal=16 |
-1.0% | -82.4% | 0.12 | -0.01 | 0.8x | 385 | 51% |
| Buy and hold | 6.8% | -94.7% | 0.37 | 0.07 | 6.3x | 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