Trend-Following Backtester · Guide · backtest 한국어
equity · AT
BAWAG Group AG backtest
10 trend-following strategies were compared on the full daily history of BAWAG Group AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.0%, MDD -34.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 16.3%, drawdown -57.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.7%, MDD -35.2%, Sharpe 0.83, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 17.0%, MDD -34.6%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=9, slow=147 |
17.7% | -35.2% | 0.83 | 0.50 | 4.2x | 13 | 61% |
| ROC 모멘텀 n=146, threshold=0.13 |
14.5% | -29.7% | 0.80 | 0.49 | 3.3x | 53 | 46% |
| EMA 크로스오버 fast=12, slow=178 |
15.7% | -39.4% | 0.76 | 0.40 | 3.6x | 13 | 58% |
| Supertrend period=27, mult=4.5 |
17.0% | -34.6% | 0.75 | 0.49 | 4.0x | 21 | 66% |
| Donchian 채널 돌파 entryN=90, exitN=91 |
14.8% | -41.0% | 0.73 | 0.36 | 3.4x | 9 | 60% |
| Keltner 채널 돌파 emaPeriod=111, atrPeriod=13, mult=3.1 |
10.4% | -24.6% | 0.64 | 0.42 | 2.4x | 19 | 47% |
| ADX / DI 방향성 period=25, threshold=28 |
1.6% | -11.3% | 0.28 | 0.15 | 1.2x | 10 | 5% |
| 볼린저 밴드 돌파 n=24, k=2.6 |
0.7% | -23.0% | 0.12 | 0.03 | 1.1x | 32 | 16% |
| MACD fast=19, slow=47, signal=29 |
0.2% | -37.4% | 0.11 | 0.01 | 1.0x | 78 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.3% | -55.0% | 0.00 | -0.04 | 0.8x | 88 | 58% |
| Buy and hold | 16.3% | -57.8% | 0.63 | 0.28 | 3.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 9-day average price crosses above the 147-day average
- Sell — Sell (to cash) when the 9-day average falls below the 147-day average