Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Siemens Limited backtest
10 trend-following strategies were compared on the full daily history of Siemens Limited. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 23.5%, MDD -38.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 22.3%, drawdown -81.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.5%, MDD -38.7%, Sharpe 0.92, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 23.5%, MDD -38.7%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=91, exitN=67 |
23.5% | -38.7% | 0.92 | 0.61 | 337.5x | 29 | 58% |
| SMA 크로스오버 fast=13, slow=152 |
23.1% | -44.5% | 0.89 | 0.52 | 308.4x | 63 | 63% |
| EMA 크로스오버 fast=47, slow=152 |
22.4% | -54.2% | 0.86 | 0.41 | 262.9x | 33 | 65% |
| ROC 모멘텀 n=117, threshold=0.01 |
20.5% | -52.4% | 0.81 | 0.39 | 170.8x | 175 | 61% |
| 볼린저 밴드 돌파 n=46, k=1.1 |
15.8% | -56.2% | 0.72 | 0.28 | 57.1x | 202 | 48% |
| Supertrend period=14, mult=2.5 |
15.7% | -68.0% | 0.69 | 0.23 | 55.6x | 195 | 55% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=18, mult=3.4 |
10.1% | -33.4% | 0.67 | 0.30 | 14.1x | 58 | 18% |
| ADX / DI 방향성 period=33, threshold=15 |
13.0% | -53.5% | 0.65 | 0.24 | 29.4x | 168 | 38% |
| MACD fast=16, slow=51, signal=13 |
12.9% | -55.2% | 0.60 | 0.23 | 28.5x | 339 | 51% |
| Parabolic SAR step=0.02, maxStep=0.1 |
10.5% | -67.8% | 0.51 | 0.15 | 15.6x | 531 | 54% |
| Buy and hold | 22.3% | -81.9% | 0.73 | 0.27 | 259.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 91 days
- Sell — Sell when price breaks below the lowest low of the last 67 days