Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Siltronic AG backtest
10 trend-following strategies were compared on the full daily history of Siltronic AG. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.6%, MDD -14.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.7%, drawdown -80.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.6%, MDD -14.3%, Sharpe 1.07, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 25.8%, MDD -52.3%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 65.7%p (CAGR 14.6%, MDD -14.3%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=49, k=3.4 |
14.6% | -14.3% | 1.07 | 1.02 | 4.6x | 4 | 10% |
| ROC 모멘텀 n=150, threshold=0.12 |
24.9% | -40.1% | 0.88 | 0.62 | 11.9x | 65 | 40% |
| Donchian 채널 돌파 entryN=109, exitN=35 |
22.9% | -39.1% | 0.88 | 0.59 | 9.9x | 14 | 38% |
| SMA 크로스오버 fast=48, slow=162 |
25.8% | -52.3% | 0.87 | 0.49 | 12.9x | 13 | 47% |
| EMA 크로스오버 fast=18, slow=162 |
19.6% | -55.8% | 0.72 | 0.35 | 7.3x | 19 | 49% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=22, mult=3.8 |
13.1% | -31.4% | 0.72 | 0.42 | 3.9x | 22 | 16% |
| ADX / DI 방향성 period=34, threshold=31 |
6.3% | -12.3% | 0.71 | 0.51 | 2.0x | 4 | 6% |
| Supertrend period=14, mult=3.5 |
18.9% | -51.4% | 0.69 | 0.37 | 6.9x | 56 | 47% |
| MACD fast=14, slow=59, signal=14 |
11.3% | -65.2% | 0.48 | 0.17 | 3.3x | 140 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
10.4% | -65.2% | 0.46 | 0.16 | 3.0x | 154 | 50% |
| Buy and hold | 7.7% | -80.0% | 0.39 | 0.10 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 49-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 49-day middle average