Trend-Following Backtester · Guide · backtest 한국어
equity · DE
GEA Group Aktiengesellschaft backtest
10 trend-following strategies were compared on the full daily history of GEA Group Aktiengesellschaft. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.4%, MDD -44.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.6%, drawdown -80.2%).
Sharpe leader (same as main): Supertrend — CAGR 7.8%, MDD -45.7%, Sharpe 0.44, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 5.4%, MDD -44.6%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4 |
7.8% | -45.7% | 0.44 | 0.17 | 7.5x | 101 | 57% |
| SMA 크로스오버 fast=44, slow=116 |
6.9% | -59.6% | 0.41 | 0.12 | 5.9x | 49 | 59% |
| Donchian 채널 돌파 entryN=55, exitN=69 |
6.6% | -58.6% | 0.39 | 0.11 | 5.5x | 47 | 61% |
| EMA 크로스오버 fast=43, slow=208 |
5.4% | -44.6% | 0.35 | 0.12 | 4.0x | 31 | 58% |
| ROC 모멘텀 n=72, threshold=-0.04 |
4.6% | -70.7% | 0.31 | 0.07 | 3.3x | 227 | 66% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=25, mult=3.7 |
1.2% | -11.1% | 0.25 | 0.11 | 1.4x | 8 | 2% |
| MACD fast=17, slow=59, signal=16 |
2.1% | -67.4% | 0.20 | 0.03 | 1.7x | 285 | 51% |
| ADX / DI 방향성 period=18, threshold=36 |
1.0% | -18.6% | 0.20 | 0.05 | 1.3x | 20 | 2% |
| 볼린저 밴드 돌파 n=29, k=3.3 |
0.8% | -21.4% | 0.15 | 0.04 | 1.2x | 28 | 5% |
| Parabolic SAR step=0.025, maxStep=0.36 |
-7.8% | -93.1% | -0.22 | -0.08 | 0.1x | 665 | 53% |
| Buy and hold | 4.6% | -80.2% | 0.30 | 0.06 | 3.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)