Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Bilfinger SE backtest
10 trend-following strategies were compared on the full daily history of Bilfinger SE. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.2%, MDD -38.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.5%, drawdown -85.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.3%, MDD -63.5%, Sharpe 0.52, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 22.4%p (CAGR 6.2%, MDD -38.7%, exposure 38%).
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=26, slow=57 |
10.3% | -63.5% | 0.52 | 0.16 | 15.5x | 82 | 54% |
| SMA 크로스오버 fast=18, slow=93 |
10.2% | -60.1% | 0.52 | 0.17 | 15.4x | 86 | 54% |
| Donchian 채널 돌파 entryN=55, exitN=28 |
8.1% | -47.3% | 0.47 | 0.17 | 8.9x | 78 | 43% |
| 볼린저 밴드 돌파 n=62, k=1.9 |
6.2% | -38.7% | 0.40 | 0.16 | 5.4x | 104 | 38% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=34, mult=2.2 |
4.1% | -47.9% | 0.30 | 0.09 | 3.1x | 134 | 36% |
| ROC 모멘텀 n=71, threshold=0.12 |
2.9% | -60.8% | 0.24 | 0.05 | 2.2x | 312 | 32% |
| ADX / DI 방향성 period=35, threshold=13 |
2.5% | -48.0% | 0.22 | 0.05 | 2.0x | 210 | 35% |
| Supertrend period=21, mult=4.8 |
2.3% | -69.5% | 0.21 | 0.03 | 1.9x | 90 | 51% |
| MACD fast=14, slow=54, signal=15 |
0.0% | -63.5% | 0.13 | 0.00 | 1.0x | 347 | 52% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-1.5% | -81.2% | 0.07 | -0.02 | 0.7x | 372 | 54% |
| Buy and hold | 4.5% | -85.9% | 0.31 | 0.05 | 3.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 26-day EMA crosses above the 57-day EMA
- Sell — Sell when the 26-day EMA falls below the 57-day EMA