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. 9 beat buy-and-hold CAGR; ROC 모멘텀 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
9 of 10 beat buy and hold (CAGR -0.1%, drawdown -99.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.7%, MDD -76.3%, Sharpe 0.47, 74% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.8%, MDD -75.3%, exposure 77%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 23.3%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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=80, threshold=-0.11 |
10.7% | -76.3% | 0.47 | 0.14 | 14.6x | 175 | 74% |
| Donchian 채널 돌파 entryN=18, exitN=56 |
10.8% | -75.3% | 0.46 | 0.14 | 14.8x | 80 | 77% |
| 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 | 0.09 | 5.2x | 108 | 55% |
| EMA 크로스오버 fast=26, slow=144 |
5.7% | -63.7% | 0.34 | 0.09 | 4.3x | 59 | 57% |
| 볼린저 밴드 돌파 n=49, k=2 |
4.8% | -67.5% | 0.31 | 0.07 | 3.4x | 130 | 34% |
| ADX / DI 방향성 period=11, threshold=37 |
2.5% | -43.5% | 0.25 | 0.06 | 1.9x | 90 | 7% |
| MACD fast=12, slow=30, signal=14 |
0.0% | -85.2% | 0.18 | 0.00 | 1.0x | 428 | 51% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-1.2% | -80.7% | 0.13 | -0.01 | 0.7x | 640 | 53% |
| Buy and hold | -0.1% | -99.6% | 0.24 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 80-day return is greater than -11%
- Sell — Sell when the 80-day return drops to -11% or below