Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Kontron AG backtest
10 trend-following strategies were compared on the full daily history of Kontron AG. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.8%, MDD -76.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.8%, drawdown -98.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.8%, MDD -76.9%, Sharpe 0.27, 48% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 3.8%, MDD -76.9%, exposure 48%).
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=46, slow=272 |
3.8% | -76.9% | 0.27 | 0.05 | 2.6x | 27 | 48% |
| SMA 크로스오버 fast=9, slow=215 |
2.8% | -78.9% | 0.24 | 0.04 | 2.1x | 67 | 47% |
| Parabolic SAR step=0.015, maxStep=0.1 |
1.0% | -78.4% | 0.20 | 0.01 | 1.3x | 377 | 51% |
| Donchian 채널 돌파 entryN=57, exitN=65 |
0.5% | -83.9% | 0.19 | 0.01 | 1.1x | 46 | 55% |
| ROC 모멘텀 n=145, threshold=0.1 |
0.9% | -79.0% | 0.18 | 0.01 | 1.3x | 194 | 37% |
| Supertrend period=23, mult=4.3 |
-1.6% | -79.7% | 0.12 | -0.02 | 0.7x | 107 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=10, mult=3.1 |
-1.3% | -72.4% | 0.07 | -0.02 | 0.7x | 72 | 23% |
| MACD fast=22, slow=30, signal=8 |
-4.8% | -88.1% | 0.05 | -0.05 | 0.3x | 397 | 48% |
| ADX / DI 방향성 period=13, threshold=31 |
-1.9% | -67.9% | 0.02 | -0.03 | 0.6x | 154 | 13% |
| 볼린저 밴드 돌파 n=39, k=1.1 |
-5.5% | -91.4% | -0.04 | -0.06 | 0.2x | 211 | 37% |
| Buy and hold | 0.8% | -98.7% | 0.27 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 272-day EMA
- Sell — Sell when the 46-day EMA falls below the 272-day EMA