Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Eckert & Ziegler SE backtest
10 trend-following strategies were compared on the full daily history of Eckert & Ziegler SE. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.1%, MDD -46.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.5%, drawdown -98.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 19.3%, MDD -59.5%, Sharpe 0.69, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 38.5%p (CAGR 12.1%, MDD -46.2%, exposure 19%).
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=40, slow=73 |
19.3% | -59.5% | 0.69 | 0.32 | 121.1x | 58 | 56% |
| SMA 크로스오버 fast=20, slow=148 |
18.6% | -53.8% | 0.68 | 0.35 | 104.1x | 50 | 55% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
13.9% | -58.0% | 0.63 | 0.24 | 34.6x | 58 | 24% |
| Donchian 채널 돌파 entryN=68, exitN=39 |
15.8% | -52.8% | 0.62 | 0.30 | 53.9x | 54 | 50% |
| ADX / DI 방향성 period=38, threshold=19 |
12.1% | -46.2% | 0.58 | 0.26 | 22.4x | 74 | 19% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=24, mult=4 |
11.1% | -54.7% | 0.54 | 0.20 | 17.6x | 60 | 22% |
| Parabolic SAR step=0.005, maxStep=0.24 |
13.1% | -69.6% | 0.53 | 0.19 | 28.5x | 194 | 51% |
| ROC 모멘텀 n=136, threshold=0.11 |
11.6% | -61.4% | 0.51 | 0.19 | 19.7x | 168 | 41% |
| Supertrend period=11, mult=3.9 |
11.4% | -88.0% | 0.48 | 0.13 | 19.0x | 120 | 57% |
| MACD fast=16, slow=22, signal=17 |
2.8% | -83.1% | 0.24 | 0.03 | 2.1x | 394 | 49% |
| Buy and hold | 7.5% | -98.0% | 0.39 | 0.08 | 7.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 73-day EMA
- Sell — Sell when the 40-day EMA falls below the 73-day EMA