Trend-Following Backtester · Guide · backtest 한국어
equity · DE
LEG Immobilien SE backtest
10 trend-following strategies were compared on the full daily history of LEG Immobilien SE. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.0%, MDD -36.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.1%, drawdown -65.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -36.2%, Sharpe 0.40, 60% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 29.3%p (CAGR 3.0%, MDD -36.0%, exposure 63%).
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=32, slow=249 |
6.0% | -36.2% | 0.40 | 0.17 | 2.2x | 14 | 60% |
| Donchian 채널 돌파 entryN=113, exitN=127 |
5.1% | -43.7% | 0.37 | 0.12 | 1.9x | 10 | 63% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=18, mult=4 |
0.9% | -5.5% | 0.36 | 0.16 | 1.1x | 2 | 2% |
| EMA 크로스오버 fast=56, slow=130 |
4.4% | -40.3% | 0.33 | 0.11 | 1.8x | 16 | 61% |
| ROC 모멘텀 n=147, threshold=-0.02 |
3.0% | -36.0% | 0.25 | 0.08 | 1.5x | 82 | 63% |
| Supertrend period=13, mult=4.9 |
1.5% | -41.5% | 0.17 | 0.04 | 1.2x | 42 | 57% |
| ADX / DI 방향성 period=29, threshold=31 |
0.1% | -6.4% | 0.09 | 0.02 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=31, k=2.9 |
0.3% | -12.5% | 0.09 | 0.03 | 1.0x | 12 | 6% |
| MACD fast=14, slow=55, signal=18 |
-3.4% | -53.0% | -0.10 | -0.06 | 0.6x | 155 | 50% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-7.1% | -71.2% | -0.31 | -0.10 | 0.4x | 260 | 53% |
| Buy and hold | 2.1% | -65.6% | 0.21 | 0.03 | 1.3x | 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 32-day average price crosses above the 249-day average
- Sell — Sell (to cash) when the 32-day average falls below the 249-day average