Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Deutsche Wohnen SE backtest
10 trend-following strategies were compared on the full daily history of Deutsche Wohnen SE. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -7.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.5%, drawdown -93.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.2%, MDD -59.6%, Sharpe 0.33, 57% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 0.2%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=43, slow=188 |
5.2% | -59.6% | 0.33 | 0.09 | 2.8x | 30 | 57% |
| Donchian 채널 돌파 entryN=14, exitN=58 |
1.9% | -61.0% | 0.21 | 0.03 | 1.5x | 65 | 76% |
| Supertrend period=8, mult=4.7 |
1.6% | -52.8% | 0.19 | 0.03 | 1.4x | 70 | 57% |
| ADX / DI 방향성 period=30, threshold=39 |
0.2% | -7.4% | 0.14 | 0.03 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=49, slow=208 |
0.4% | -60.1% | 0.13 | 0.01 | 1.1x | 28 | 59% |
| ROC 모멘텀 n=106, threshold=-0.04 |
-0.6% | -61.5% | 0.10 | -0.01 | 0.9x | 198 | 64% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=13, mult=3.8 |
-0.1% | -28.6% | 0.02 | -0.00 | 1.0x | 8 | 2% |
| MACD fast=16, slow=57, signal=18 |
-3.2% | -73.3% | -0.00 | -0.04 | 0.5x | 227 | 51% |
| 볼린저 밴드 돌파 n=51, k=1.4 |
-4.2% | -65.4% | -0.10 | -0.06 | 0.4x | 126 | 41% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-5.9% | -76.4% | -0.13 | -0.08 | 0.3x | 497 | 52% |
| Buy and hold | -1.5% | -93.2% | 0.15 | -0.02 | 0.7x | 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 43-day average price crosses above the 188-day average
- Sell — Sell (to cash) when the 43-day average falls below the 188-day average