Trend-Following Backtester · Guide · backtest 한국어
equity · DE
RWE AG backtest
10 trend-following strategies were compared on the full daily history of RWE AG. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.9%, MDD -17.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.8%, drawdown -90.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.3%, MDD -52.6%, Sharpe 0.36, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 38.2%p (CAGR 1.9%, MDD -17.0%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=77, slow=225 |
5.3% | -52.6% | 0.36 | 0.10 | 4.6x | 33 | 53% |
| 볼린저 밴드 돌파 n=18, k=2.9 |
1.9% | -17.0% | 0.31 | 0.11 | 1.7x | 50 | 7% |
| EMA 크로스오버 fast=36, slow=148 |
3.0% | -54.3% | 0.25 | 0.05 | 2.4x | 51 | 52% |
| ADX / DI 방향성 period=22, threshold=30 |
1.5% | -17.4% | 0.24 | 0.09 | 1.6x | 40 | 7% |
| Donchian 채널 돌파 entryN=34, exitN=73 |
2.2% | -72.6% | 0.21 | 0.03 | 1.9x | 61 | 69% |
| ROC 모멘텀 n=132, threshold=-0.01 |
0.4% | -76.7% | 0.12 | 0.00 | 1.1x | 277 | 55% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=23, mult=3.1 |
0.2% | -40.3% | 0.08 | 0.01 | 1.1x | 90 | 22% |
| Supertrend period=26, mult=2.5 |
-0.9% | -77.4% | 0.06 | -0.01 | 0.8x | 258 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.9% | -61.7% | 0.06 | -0.01 | 0.8x | 267 | 49% |
| MACD fast=17, slow=35, signal=19 |
-4.8% | -86.5% | -0.12 | -0.05 | 0.2x | 379 | 50% |
| Buy and hold | 1.8% | -90.8% | 0.21 | 0.02 | 1.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 77-day average price crosses above the 225-day average
- Sell — Sell (to cash) when the 77-day average falls below the 225-day average