Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Symrise AG backtest
10 trend-following strategies were compared on the full daily history of Symrise AG. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -28.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.3%, drawdown -68.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -28.5%, Sharpe 0.57, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 9.5%, MDD -28.5%, exposure 64%).
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=102, slow=282 |
9.5% | -28.5% | 0.57 | 0.33 | 6.0x | 13 | 64% |
| Keltner 채널 돌파 emaPeriod=159, atrPeriod=23, mult=2.2 |
6.2% | -32.8% | 0.46 | 0.19 | 3.3x | 49 | 51% |
| Supertrend period=8, mult=4.2 |
6.8% | -48.5% | 0.45 | 0.14 | 3.6x | 65 | 57% |
| EMA 크로스오버 fast=52, slow=182 |
6.5% | -43.3% | 0.43 | 0.15 | 3.4x | 25 | 63% |
| Donchian 채널 돌파 entryN=56, exitN=76 |
6.6% | -53.2% | 0.43 | 0.12 | 3.5x | 31 | 64% |
| ROC 모멘텀 n=85, threshold=-0.09 |
3.7% | -60.6% | 0.27 | 0.06 | 2.0x | 105 | 80% |
| 볼린저 밴드 돌파 n=61, k=1.7 |
2.7% | -46.7% | 0.25 | 0.06 | 1.7x | 87 | 43% |
| ADX / DI 방향성 period=51, threshold=14 |
2.0% | -41.6% | 0.23 | 0.05 | 1.5x | 53 | 19% |
| Parabolic SAR step=0.005, maxStep=0.08 |
0.2% | -47.2% | 0.11 | 0.00 | 1.0x | 173 | 55% |
| MACD fast=23, slow=30, signal=17 |
-4.0% | -69.8% | -0.12 | -0.06 | 0.5x | 232 | 52% |
| Buy and hold | 8.3% | -68.2% | 0.42 | 0.12 | 4.8x | 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 102-day average price crosses above the 282-day average
- Sell — Sell (to cash) when the 102-day average falls below the 282-day average