Trend-Following Backtester · Guide · backtest 한국어
equity · DE
K+S AG backtest
10 trend-following strategies were compared on the full daily history of K+S AG. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.2%, MDD -58.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.2%, drawdown -94.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.2%, MDD -58.5%, Sharpe 0.56, 53% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 12.2%, MDD -58.5%, exposure 53%).
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=14, slow=130 |
12.2% | -58.5% | 0.56 | 0.21 | 24.6x | 69 | 53% |
| SMA 크로스오버 fast=35, slow=84 |
10.2% | -67.2% | 0.49 | 0.15 | 14.6x | 86 | 55% |
| Keltner 채널 돌파 emaPeriod=112, atrPeriod=23, mult=2.8 |
7.9% | -65.4% | 0.45 | 0.12 | 8.2x | 74 | 40% |
| Donchian 채널 돌파 entryN=101, exitN=70 |
8.5% | -82.8% | 0.44 | 0.10 | 9.7x | 38 | 49% |
| ROC 모멘텀 n=127, threshold=0.03 |
8.8% | -72.2% | 0.44 | 0.12 | 10.2x | 205 | 52% |
| Supertrend period=18, mult=4.9 |
4.7% | -79.5% | 0.31 | 0.06 | 3.6x | 90 | 48% |
| 볼린저 밴드 돌파 n=49, k=2.5 |
3.7% | -43.4% | 0.29 | 0.08 | 2.7x | 82 | 25% |
| Parabolic SAR step=0.02, maxStep=0.36 |
0.2% | -89.4% | 0.15 | 0.00 | 1.1x | 581 | 52% |
| MACD fast=12, slow=48, signal=19 |
0.2% | -88.1% | 0.14 | 0.00 | 1.1x | 357 | 51% |
| ADX / DI 방향성 period=21, threshold=9 |
-1.3% | -92.3% | 0.07 | -0.01 | 0.7x | 489 | 50% |
| Buy and hold | 6.2% | -94.4% | 0.35 | 0.07 | 5.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 14-day EMA crosses above the 130-day EMA
- Sell — Sell when the 14-day EMA falls below the 130-day EMA