Trend-Following Backtester · Guide · backtest 한국어
equity · DE
flatexDEGIRO SE backtest
10 trend-following strategies were compared on the full daily history of flatexDEGIRO SE. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 30.7%, MDD -41.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 24.5%, drawdown -80.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.7%, MDD -41.5%, Sharpe 1.00, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 30.7%, MDD -41.5%, exposure 64%).
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=46, slow=162 |
30.7% | -41.5% | 1.00 | 0.74 | 72.5x | 19 | 64% |
| ROC 모멘텀 n=141, threshold=0 |
28.6% | -44.5% | 0.94 | 0.64 | 55.9x | 80 | 65% |
| EMA 크로스오버 fast=40, slow=182 |
28.0% | -44.0% | 0.93 | 0.64 | 52.0x | 13 | 63% |
| Donchian 채널 돌파 entryN=104, exitN=75 |
25.6% | -56.5% | 0.89 | 0.45 | 38.3x | 14 | 60% |
| 볼린저 밴드 돌파 n=22, k=2.2 |
12.1% | -38.2% | 0.62 | 0.32 | 6.2x | 122 | 31% |
| ADX / DI 방향성 period=21, threshold=19 |
11.1% | -28.8% | 0.59 | 0.38 | 5.4x | 112 | 27% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=13, mult=4 |
8.6% | -27.9% | 0.55 | 0.31 | 3.7x | 40 | 20% |
| Parabolic SAR step=0.03, maxStep=0.12 |
10.7% | -56.5% | 0.49 | 0.19 | 5.1x | 353 | 54% |
| Supertrend period=14, mult=4.8 |
10.1% | -72.0% | 0.46 | 0.14 | 4.6x | 63 | 57% |
| MACD fast=14, slow=35, signal=15 |
3.2% | -73.3% | 0.25 | 0.04 | 1.7x | 236 | 51% |
| Buy and hold | 24.5% | -80.6% | 0.73 | 0.30 | 33.4x | 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 46-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 46-day average falls below the 162-day average