Trend-Following Backtester · Guide · backtest 한국어
equity · CH
ams-OSRAM AG backtest
10 trend-following strategies were compared on the full daily history of ams-OSRAM AG. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.9%, MDD -29.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.7%, drawdown -98.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.8%, MDD -63.8%, Sharpe 0.65, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.5%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 3.9%, MDD -29.3%, exposure 5%).
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=34, slow=130 |
17.8% | -63.8% | 0.65 | 0.28 | 38.3x | 35 | 52% |
| EMA 크로스오버 fast=24, slow=121 |
16.7% | -73.4% | 0.64 | 0.23 | 30.9x | 33 | 49% |
| ROC 모멘텀 n=140, threshold=0.05 |
16.2% | -63.6% | 0.63 | 0.25 | 28.0x | 101 | 48% |
| Donchian 채널 돌파 entryN=79, exitN=78 |
13.9% | -79.9% | 0.55 | 0.17 | 18.1x | 27 | 53% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=14, mult=2.2 |
11.4% | -71.4% | 0.51 | 0.16 | 11.0x | 78 | 41% |
| 볼린저 밴드 돌파 n=43, k=3.3 |
6.3% | -30.8% | 0.44 | 0.20 | 3.9x | 30 | 13% |
| Supertrend period=15, mult=3.4 |
8.5% | -82.6% | 0.41 | 0.10 | 6.1x | 128 | 57% |
| ADX / DI 방향성 period=27, threshold=29 |
3.9% | -29.3% | 0.36 | 0.13 | 2.4x | 18 | 5% |
| Parabolic SAR step=0.025, maxStep=0.1 |
6.1% | -79.2% | 0.35 | 0.08 | 3.7x | 426 | 53% |
| MACD fast=13, slow=37, signal=13 |
-0.6% | -93.3% | 0.19 | -0.01 | 0.9x | 316 | 51% |
| Buy and hold | -1.7% | -98.8% | 0.25 | -0.02 | 0.7x | 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 34-day average price crosses above the 130-day average
- Sell — Sell (to cash) when the 34-day average falls below the 130-day average