Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Infineon Technologies AG backtest
10 trend-following strategies were compared on the full daily history of Infineon Technologies AG. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.6%, MDD -36.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.4%, drawdown -99.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.7%, MDD -75.3%, Sharpe 0.46, 77% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 3.6%, MDD -36.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=56 |
10.7% | -75.3% | 0.46 | 0.14 | 14.8x | 80 | 77% |
| ROC 모멘텀 n=80, threshold=-0.11 |
10.3% | -76.3% | 0.46 | 0.13 | 13.3x | 175 | 74% |
| Supertrend period=18, mult=3.5 |
9.4% | -59.1% | 0.44 | 0.16 | 10.8x | 152 | 52% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=21, mult=3.7 |
3.6% | -36.5% | 0.38 | 0.10 | 2.5x | 10 | 1% |
| SMA 크로스오버 fast=18, slow=70 |
6.4% | -75.2% | 0.35 | 0.08 | 5.2x | 108 | 55% |
| EMA 크로스오버 fast=26, slow=144 |
5.3% | -63.7% | 0.33 | 0.08 | 4.0x | 59 | 57% |
| 볼린저 밴드 돌파 n=49, k=2 |
4.7% | -67.5% | 0.31 | 0.07 | 3.4x | 130 | 34% |
| ADX / DI 방향성 period=11, threshold=37 |
2.4% | -43.5% | 0.25 | 0.06 | 1.9x | 90 | 7% |
| MACD fast=12, slow=30, signal=14 |
-0.6% | -85.2% | 0.16 | -0.01 | 0.9x | 431 | 51% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-1.7% | -80.7% | 0.11 | -0.02 | 0.6x | 642 | 53% |
| Buy and hold | -0.4% | -99.6% | 0.23 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 56 days