Trend-Following Backtester · Guide · backtest 한국어
equity · AT
Osterreichische Post AG backtest
10 trend-following strategies were compared on the full daily history of Osterreichische Post AG. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.0%, MDD -27.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.0%, drawdown -54.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.4%, MDD -7.4%, Sharpe 0.44, 3% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 2.0%, MDD -27.8%, exposure 18%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 47.0%p (CAGR 2.0%, MDD -27.8%, exposure 18%).
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=56, k=3.5 |
1.4% | -7.4% | 0.44 | 0.19 | 1.3x | 2 | 3% |
| ADX / DI 방향성 period=39, threshold=31 |
1.3% | -11.8% | 0.36 | 0.11 | 1.3x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=3.7 |
2.0% | -27.8% | 0.27 | 0.07 | 1.5x | 34 | 18% |
| Donchian 채널 돌파 entryN=101, exitN=40 |
1.3% | -37.1% | 0.17 | 0.03 | 1.3x | 32 | 41% |
| EMA 크로스오버 fast=43, slow=53 |
0.4% | -45.6% | 0.10 | 0.01 | 1.1x | 56 | 51% |
| Supertrend period=17, mult=3.4 |
0.1% | -51.8% | 0.08 | 0.00 | 1.0x | 98 | 48% |
| SMA 크로스오버 fast=25, slow=132 |
-0.5% | -44.2% | 0.04 | -0.01 | 0.9x | 54 | 49% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-1.8% | -60.4% | -0.03 | -0.03 | 0.7x | 153 | 51% |
| ROC 모멘텀 n=66, threshold=0.09 |
-0.9% | -56.5% | -0.05 | -0.02 | 0.8x | 168 | 21% |
| MACD fast=21, slow=50, signal=12 |
-4.4% | -72.0% | -0.19 | -0.06 | 0.4x | 261 | 53% |
| Buy and hold | 2.0% | -54.4% | 0.20 | 0.04 | 1.5x | 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 56-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 56-day middle average