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 -0.7%, drawdown -85.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.9%, MDD -49.4%, Sharpe 0.54, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.5%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 |
10.9% | -49.4% | 0.54 | 0.22 | 7.3x | 31 | 50% |
| SMA 크로스오버 fast=32, slow=128 |
10.7% | -38.7% | 0.53 | 0.28 | 7.1x | 37 | 50% |
| Donchian 채널 돌파 entryN=71, exitN=72 |
9.2% | -40.0% | 0.48 | 0.23 | 5.5x | 27 | 50% |
| 볼린저 밴드 돌파 n=21, k=2.6 |
5.4% | -33.6% | 0.42 | 0.16 | 2.8x | 78 | 17% |
| ROC 모멘텀 n=86, threshold=0.06 |
6.0% | -37.6% | 0.37 | 0.16 | 3.1x | 151 | 40% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=12, mult=2.5 |
3.5% | -42.0% | 0.33 | 0.08 | 1.9x | 64 | 14% |
| MACD fast=29, slow=50, signal=21 |
5.0% | -58.4% | 0.31 | 0.09 | 2.6x | 145 | 49% |
| Supertrend period=9, mult=5 |
4.5% | -54.2% | 0.30 | 0.08 | 2.3x | 51 | 48% |
| ADX / DI 방향성 period=25, threshold=39 |
0.8% | -7.4% | 0.24 | 0.10 | 1.2x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.3% | -65.0% | 0.19 | 0.02 | 1.3x | 151 | 49% |
| Buy and hold | -0.7% | -85.9% | 0.19 | -0.01 | 0.9x | 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