Trend-Following Backtester · Guide · backtest 한국어
equity · AT
VERBUND AG Class A backtest
10 trend-following strategies were compared on the full daily history of VERBUND AG Class A. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.6%, MDD -53.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.6%, drawdown -83.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -57.3%, Sharpe 0.51, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 8.6%, MDD -53.6%, exposure 51%).
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=28, slow=189 |
9.1% | -57.3% | 0.51 | 0.16 | 10.2x | 40 | 54% |
| EMA 크로스오버 fast=46, slow=178 |
8.6% | -53.6% | 0.50 | 0.16 | 9.0x | 38 | 51% |
| ADX / DI 방향성 period=31, threshold=37 |
1.3% | -6.2% | 0.50 | 0.20 | 1.4x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=11, mult=3.9 |
5.0% | -40.4% | 0.48 | 0.12 | 3.6x | 40 | 18% |
| Donchian 채널 돌파 entryN=103, exitN=67 |
5.8% | -65.4% | 0.39 | 0.09 | 4.5x | 38 | 44% |
| Supertrend period=29, mult=4.6 |
4.9% | -59.0% | 0.33 | 0.08 | 3.5x | 84 | 53% |
| ROC 모멘텀 n=137, threshold=0.08 |
3.9% | -67.1% | 0.30 | 0.06 | 2.8x | 204 | 41% |
| 볼린저 밴드 돌파 n=39, k=3 |
2.2% | -49.6% | 0.26 | 0.04 | 1.8x | 50 | 13% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-1.0% | -79.8% | 0.06 | -0.01 | 0.8x | 217 | 53% |
| MACD fast=17, slow=50, signal=12 |
-6.3% | -89.9% | -0.19 | -0.07 | 0.2x | 369 | 52% |
| Buy and hold | 5.6% | -83.0% | 0.33 | 0.07 | 4.3x | 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 28-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 28-day average falls below the 189-day average