Trend-Following Backtester · Guide · backtest 한국어
equity · AT
PORR AG backtest
10 trend-following strategies were compared on the full daily history of PORR AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.4%, MDD -38.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.4%, drawdown -80.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -47.5%, Sharpe 0.45, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 5.4%, MDD -38.2%, exposure 14%).
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=75, slow=214 |
8.6% | -47.5% | 0.45 | 0.18 | 9.1x | 33 | 46% |
| EMA 크로스오버 fast=60, slow=212 |
7.0% | -60.0% | 0.40 | 0.12 | 6.1x | 25 | 46% |
| ADX / DI 방향성 period=32, threshold=25 |
5.4% | -38.2% | 0.38 | 0.14 | 4.1x | 60 | 14% |
| Donchian 채널 돌파 entryN=110, exitN=56 |
5.0% | -54.4% | 0.32 | 0.09 | 3.6x | 55 | 35% |
| ROC 모멘텀 n=137, threshold=-0.04 |
1.3% | -73.6% | 0.19 | 0.02 | 1.4x | 189 | 60% |
| 볼린저 밴드 돌파 n=52, k=2.2 |
0.6% | -67.8% | 0.13 | 0.01 | 1.2x | 108 | 27% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=16, mult=4 |
-0.0% | -61.1% | 0.09 | -0.00 | 1.0x | 108 | 19% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-1.1% | -75.4% | 0.09 | -0.02 | 0.7x | 158 | 49% |
| MACD fast=13, slow=49, signal=14 |
-8.2% | -95.4% | -0.19 | -0.09 | 0.1x | 374 | 51% |
| Supertrend period=18, mult=5 |
-8.4% | -96.8% | -0.23 | -0.09 | 0.1x | 212 | 50% |
| Buy and hold | 5.4% | -80.0% | 0.33 | 0.07 | 4.1x | 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 75-day average price crosses above the 214-day average
- Sell — Sell (to cash) when the 75-day average falls below the 214-day average