Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Deutsche Boerse AG backtest
10 trend-following strategies were compared on the full daily history of Deutsche Boerse AG. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.1%, MDD -54.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.1%, drawdown -83.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.9%, MDD -60.2%, Sharpe 0.34, 58% exposure.
CAGR reference leader: Supertrend — CAGR 16.1%, MDD -54.3%, exposure 58%.
Return/drawdown alternative: Supertrend — CAGR is 13.2%p lower than buy and hold, while drawdown improves by 22.8%p (CAGR 16.1%, MDD -54.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=74 |
4.9% | -60.2% | 0.34 | 0.08 | 3.4x | 108 | 58% |
| EMA 크로스오버 fast=30, slow=117 |
4.8% | -70.6% | 0.33 | 0.07 | 3.3x | 47 | 64% |
| 볼린저 밴드 돌파 n=55, k=2.3 |
3.0% | -47.4% | 0.28 | 0.06 | 2.1x | 93 | 33% |
| Donchian 채널 돌파 entryN=71, exitN=76 |
3.6% | -75.1% | 0.28 | 0.05 | 2.5x | 41 | 67% |
| ADX / DI 방향성 period=38, threshold=22 |
2.0% | -28.7% | 0.26 | 0.07 | 1.7x | 28 | 11% |
| Supertrend period=37, mult=5 |
16.1% | -54.3% | 0.24 | 0.30 | 44.8x | 69 | 58% |
| ROC 모멘텀 n=59, threshold=-0.08 |
13.8% | -73.2% | 0.24 | 0.19 | 27.0x | 169 | 83% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=2.1 |
11.4% | -67.0% | 0.21 | 0.17 | 15.7x | 133 | 41% |
| MACD fast=29, slow=55, signal=30 |
5.6% | -80.2% | 0.19 | 0.07 | 4.0x | 221 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
4.2% | -87.2% | 0.18 | 0.05 | 2.8x | 469 | 56% |
| Buy and hold | 18.1% | -83.0% | 0.26 | 0.22 | 70.0x | 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 54-day average price crosses above the 74-day average
- Sell — Sell (to cash) when the 54-day average falls below the 74-day average