Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Wacker Neuson SE backtest
10 trend-following strategies were compared on the full daily history of Wacker Neuson SE. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -7.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.9%, drawdown -85.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.6%, MDD -49.4%, Sharpe 0.53, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 36.5%p (CAGR 0.8%, MDD -7.4%, exposure 1%).
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=55, slow=68 |
10.6% | -49.4% | 0.53 | 0.22 | 7.0x | 31 | 50% |
| SMA 크로스오버 fast=32, slow=128 |
10.5% | -38.7% | 0.52 | 0.27 | 6.8x | 37 | 50% |
| Donchian 채널 돌파 entryN=71, exitN=72 |
9.0% | -40.0% | 0.48 | 0.22 | 5.2x | 27 | 49% |
| 볼린저 밴드 돌파 n=21, k=2.6 |
5.6% | -33.6% | 0.43 | 0.17 | 2.8x | 77 | 17% |
| ROC 모멘텀 n=86, threshold=0.06 |
6.0% | -37.6% | 0.37 | 0.16 | 3.1x | 147 | 40% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=12, mult=2.5 |
3.6% | -42.0% | 0.34 | 0.09 | 2.0x | 63 | 14% |
| MACD fast=29, slow=50, signal=21 |
5.3% | -58.4% | 0.32 | 0.09 | 2.7x | 143 | 49% |
| Supertrend period=9, mult=5 |
4.2% | -54.2% | 0.29 | 0.08 | 2.2x | 51 | 47% |
| ADX / DI 방향성 period=25, threshold=39 |
0.8% | -7.4% | 0.24 | 0.11 | 1.2x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.6% | -65.0% | 0.20 | 0.02 | 1.4x | 149 | 49% |
| Buy and hold | -0.9% | -85.9% | 0.18 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 68-day EMA
- Sell — Sell when the 55-day EMA falls below the 68-day EMA