Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Siemens AG backtest
10 trend-following strategies were compared on the full daily history of Siemens AG. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -74.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.1%, MDD -37.7%, Sharpe 0.37, 22% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.9%, MDD -51.4%, exposure 65%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=66, k=2.7 |
4.1% | -37.7% | 0.37 | 0.11 | 3.3x | 46 | 22% |
| Donchian 채널 돌파 entryN=54, exitN=74 |
5.9% | -51.4% | 0.36 | 0.12 | 5.6x | 59 | 65% |
| EMA 크로스오버 fast=46, slow=88 |
5.2% | -56.0% | 0.34 | 0.09 | 4.5x | 65 | 64% |
| SMA 크로스오버 fast=51, slow=78 |
5.1% | -65.1% | 0.33 | 0.08 | 4.4x | 105 | 61% |
| Supertrend period=12, mult=4.8 |
4.8% | -62.8% | 0.32 | 0.08 | 4.0x | 97 | 58% |
| ROC 모멘텀 n=139, threshold=-0.03 |
3.4% | -63.4% | 0.26 | 0.05 | 2.7x | 215 | 66% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=3.9 |
1.9% | -49.5% | 0.21 | 0.04 | 1.7x | 72 | 21% |
| ADX / DI 방향성 period=25, threshold=34 |
1.0% | -20.5% | 0.19 | 0.05 | 1.4x | 12 | 2% |
| MACD fast=17, slow=23, signal=9 |
0.0% | -83.8% | 0.11 | 0.00 | 1.0x | 533 | 50% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-1.9% | -84.0% | 0.03 | -0.02 | 0.6x | 453 | 55% |
| Buy and hold | 8.9% | -74.9% | 0.42 | 0.12 | 12.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 66-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 66-day middle average