Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Stadler Rail AG backtest
10 trend-following strategies were compared on the full daily history of Stadler Rail AG. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -7.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -11.6%, drawdown -70.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.4%, MDD -8.0%, Sharpe 0.30, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 62.4%p (CAGR 0.8%, MDD -7.9%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=11, mult=3.8 |
1.4% | -8.0% | 0.30 | 0.18 | 1.1x | 2 | 4% |
| ADX / DI 방향성 period=36, threshold=21 |
0.8% | -7.9% | 0.29 | 0.11 | 1.1x | 2 | 3% |
| Donchian 채널 돌파 entryN=106, exitN=25 |
-0.8% | -26.0% | -0.03 | -0.03 | 0.9x | 9 | 16% |
| SMA 크로스오버 fast=54, slow=135 |
-2.0% | -40.6% | -0.04 | -0.05 | 0.9x | 17 | 33% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
-0.7% | -8.4% | -0.18 | -0.08 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=8, slow=237 |
-2.8% | -37.7% | -0.19 | -0.07 | 0.8x | 17 | 19% |
| ROC 모멘텀 n=65, threshold=0.14 |
-2.3% | -22.0% | -0.31 | -0.10 | 0.8x | 33 | 6% |
| Supertrend period=20, mult=2.8 |
-8.2% | -55.3% | -0.35 | -0.15 | 0.5x | 55 | 45% |
| MACD fast=17, slow=57, signal=13 |
-13.7% | -71.5% | -0.66 | -0.19 | 0.3x | 101 | 51% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-15.2% | -73.9% | -0.76 | -0.21 | 0.3x | 159 | 49% |
| Buy and hold | -11.6% | -70.3% | -0.27 | -0.17 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 35-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 35-day average