Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Basler AG backtest
10 trend-following strategies were compared on the full daily history of Basler AG. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.6%, MDD -52.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.5%, drawdown -98.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.2%, MDD -69.9%, Sharpe 0.61, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 6.6%, MDD -52.9%, exposure 17%).
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=45, slow=164 |
16.2% | -69.9% | 0.61 | 0.23 | 60.7x | 33 | 52% |
| Donchian 채널 돌파 entryN=141, exitN=76 |
14.7% | -64.4% | 0.60 | 0.23 | 42.4x | 23 | 40% |
| SMA 크로스오버 fast=20, slow=162 |
14.9% | -72.2% | 0.55 | 0.21 | 44.9x | 53 | 57% |
| Supertrend period=10, mult=4.9 |
14.3% | -72.0% | 0.54 | 0.20 | 38.9x | 88 | 54% |
| ROC 모멘텀 n=94, threshold=-0.02 |
10.4% | -85.2% | 0.45 | 0.12 | 14.9x | 267 | 58% |
| Parabolic SAR step=0.02, maxStep=0.12 |
8.6% | -64.7% | 0.40 | 0.13 | 9.6x | 462 | 49% |
| ADX / DI 방향성 period=28, threshold=11 |
7.9% | -73.2% | 0.39 | 0.11 | 8.0x | 280 | 43% |
| 볼린저 밴드 돌파 n=17, k=2.7 |
6.6% | -52.9% | 0.39 | 0.12 | 5.7x | 138 | 17% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=10, mult=2 |
6.6% | -74.3% | 0.36 | 0.09 | 5.7x | 178 | 30% |
| MACD fast=8, slow=17, signal=21 |
3.4% | -80.1% | 0.27 | 0.04 | 2.5x | 502 | 50% |
| Buy and hold | 3.5% | -98.7% | 0.32 | 0.04 | 2.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 164-day EMA
- Sell — Sell when the 45-day EMA falls below the 164-day EMA