Trend-Following Backtester · Guide · backtest 한국어
equity · DE
MTU Aero Engines AG backtest
10 trend-following strategies were compared on the full daily history of MTU Aero Engines AG. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -74.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -41.1%, Sharpe 0.48, 63% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=95, exitN=78 |
8.7% | -41.1% | 0.48 | 0.21 | 5.9x | 28 | 63% |
| Supertrend period=24, mult=4.5 |
8.4% | -47.8% | 0.46 | 0.18 | 5.5x | 69 | 64% |
| SMA 크로스오버 fast=55, slow=217 |
8.5% | -62.3% | 0.45 | 0.14 | 5.6x | 26 | 66% |
| EMA 크로스오버 fast=17, slow=106 |
8.0% | -53.1% | 0.44 | 0.15 | 5.1x | 75 | 67% |
| ROC 모멘텀 n=121, threshold=0.12 |
6.4% | -42.6% | 0.42 | 0.15 | 3.7x | 166 | 43% |
| 볼린저 밴드 돌파 n=45, k=3.4 |
2.7% | -11.6% | 0.40 | 0.23 | 1.7x | 14 | 10% |
| MACD fast=26, slow=52, signal=37 |
5.0% | -56.1% | 0.33 | 0.09 | 2.8x | 155 | 50% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=10, mult=3.7 |
2.5% | -30.7% | 0.27 | 0.08 | 1.7x | 50 | 25% |
| ADX / DI 방향성 period=29, threshold=20 |
1.3% | -18.6% | 0.17 | 0.07 | 1.3x | 68 | 15% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.1% | -55.0% | 0.13 | 0.00 | 1.0x | 200 | 59% |
| Buy and hold | 14.4% | -74.7% | 0.55 | 0.19 | 17.1x | 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 95 days
- Sell — Sell when price breaks below the lowest low of the last 78 days