Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Bayer AG backtest
10 trend-following strategies were compared on the full daily history of Bayer AG. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.2%, MDD -46.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.5%, drawdown -86.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.2%, MDD -46.6%, Sharpe 0.30, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 4.2%, MDD -46.6%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=28, slow=150 |
4.2% | -46.6% | 0.30 | 0.09 | 3.4x | 55 | 55% |
| SMA 크로스오버 fast=32, slow=189 |
4.1% | -65.2% | 0.30 | 0.06 | 3.3x | 43 | 54% |
| Donchian 채널 돌파 entryN=11, exitN=76 |
4.2% | -68.2% | 0.28 | 0.06 | 3.3x | 85 | 83% |
| ADX / DI 방향성 period=15, threshold=51 |
1.0% | -6.8% | 0.28 | 0.14 | 1.3x | 4 | 1% |
| ROC 모멘텀 n=113, threshold=-0.06 |
3.7% | -69.9% | 0.27 | 0.05 | 2.9x | 197 | 65% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.4% | -54.4% | 0.26 | 0.06 | 2.7x | 263 | 53% |
| Supertrend period=34, mult=5 |
2.4% | -60.4% | 0.22 | 0.04 | 2.0x | 93 | 51% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
0.9% | -16.6% | 0.20 | 0.06 | 1.3x | 9 | 3% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=3.7 |
0.9% | -15.6% | 0.19 | 0.06 | 1.3x | 14 | 2% |
| MACD fast=18, slow=35, signal=19 |
-4.2% | -90.5% | -0.08 | -0.05 | 0.3x | 360 | 51% |
| Buy and hold | 1.5% | -86.9% | 0.21 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 150-day EMA
- Sell — Sell when the 28-day EMA falls below the 150-day EMA