Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Wacker Chemie AG backtest
10 trend-following strategies were compared on the full daily history of Wacker Chemie AG. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.9%, MDD -41.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.5%, drawdown -83.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -41.3%, Sharpe 0.49, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 9.9%, MDD -41.3%, exposure 51%).
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=37, slow=191 |
9.9% | -41.3% | 0.49 | 0.24 | 6.8x | 25 | 51% |
| EMA 크로스오버 fast=73, slow=118 |
9.3% | -49.3% | 0.47 | 0.19 | 6.1x | 21 | 52% |
| 볼린저 밴드 돌파 n=38, k=1.3 |
3.3% | -64.8% | 0.26 | 0.05 | 1.9x | 148 | 38% |
| Donchian 채널 돌파 entryN=111, exitN=78 |
3.0% | -61.6% | 0.24 | 0.05 | 1.8x | 25 | 40% |
| Supertrend period=28, mult=3.2 |
2.8% | -59.0% | 0.24 | 0.05 | 1.7x | 120 | 51% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=16, mult=1.5 |
2.6% | -54.0% | 0.22 | 0.05 | 1.7x | 150 | 36% |
| MACD fast=18, slow=57, signal=14 |
-1.1% | -70.2% | 0.10 | -0.02 | 0.8x | 230 | 53% |
| ROC 모멘텀 n=125, threshold=0.05 |
-0.8% | -81.7% | 0.09 | -0.01 | 0.9x | 181 | 45% |
| ADX / DI 방향성 period=15, threshold=17 |
-2.7% | -70.2% | 0.00 | -0.04 | 0.6x | 302 | 37% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.9% | -86.5% | -0.11 | -0.08 | 0.2x | 370 | 52% |
| Buy and hold | -0.5% | -83.3% | 0.20 | -0.01 | 0.9x | 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 37-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 37-day average falls below the 191-day average