Trend-Following Backtester · Guide · backtest 한국어
equity · AT
Wienerberger AG backtest
10 trend-following strategies were compared on the full daily history of Wienerberger AG. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -12.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.4%, drawdown -91.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -12.8%, Sharpe 0.44, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.9%, MDD -39.0%, exposure 65%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 78.8%p (CAGR 1.8%, MDD -12.8%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=29 |
1.8% | -12.8% | 0.44 | 0.14 | 1.6x | 6 | 3% |
| Donchian 채널 돌파 entryN=34, exitN=57 |
7.9% | -39.0% | 0.43 | 0.20 | 7.6x | 60 | 65% |
| EMA 크로스오버 fast=15, slow=29 |
7.1% | -47.8% | 0.42 | 0.15 | 6.2x | 146 | 54% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
5.6% | -55.4% | 0.37 | 0.10 | 4.2x | 162 | 44% |
| SMA 크로스오버 fast=16, slow=51 |
5.4% | -53.4% | 0.34 | 0.10 | 4.1x | 128 | 54% |
| ROC 모멘텀 n=42, threshold=0 |
4.9% | -50.3% | 0.32 | 0.10 | 3.5x | 356 | 55% |
| Supertrend period=23, mult=4.2 |
4.8% | -48.4% | 0.32 | 0.10 | 3.5x | 102 | 55% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=29, mult=1.3 |
3.7% | -63.0% | 0.28 | 0.06 | 2.6x | 196 | 43% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.1% | -65.3% | 0.07 | -0.02 | 0.8x | 226 | 55% |
| MACD fast=15, slow=46, signal=14 |
-2.4% | -72.8% | 0.02 | -0.03 | 0.5x | 380 | 51% |
| Buy and hold | 0.4% | -91.6% | 0.19 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)