Trend-Following Backtester · Guide · backtest 한국어
equity · DE
TAG Immobilien AG backtest
10 trend-following strategies were compared on the full daily history of TAG Immobilien AG. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.9%, MDD -16.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.8%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -40.4%, Sharpe 0.50, 58% exposure.
CAGR reference leader: Supertrend — CAGR 9.3%, MDD -43.8%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 58.6%p (CAGR 2.9%, MDD -16.4%, exposure 4%).
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=58, slow=173 |
9.1% | -40.4% | 0.50 | 0.23 | 9.5x | 40 | 58% |
| Supertrend period=7, mult=3.9 |
9.3% | -43.8% | 0.48 | 0.21 | 10.0x | 100 | 53% |
| Donchian 채널 돌파 entryN=32, exitN=77 |
9.3% | -62.0% | 0.46 | 0.15 | 9.9x | 45 | 73% |
| 볼린저 밴드 돌파 n=64, k=1.4 |
6.6% | -38.7% | 0.42 | 0.17 | 5.2x | 104 | 41% |
| ADX / DI 방향성 period=30, threshold=33 |
2.9% | -16.4% | 0.39 | 0.17 | 2.1x | 12 | 4% |
| ROC 모멘텀 n=75, threshold=-0.11 |
6.0% | -67.2% | 0.35 | 0.09 | 4.5x | 147 | 77% |
| EMA 크로스오버 fast=55, slow=242 |
5.0% | -48.7% | 0.34 | 0.10 | 3.5x | 24 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=2.6 |
4.1% | -51.0% | 0.30 | 0.08 | 2.8x | 90 | 36% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.9% | -82.7% | 0.05 | -0.02 | 0.6x | 206 | 50% |
| MACD fast=18, slow=51, signal=13 |
-8.6% | -95.9% | -0.18 | -0.09 | 0.1x | 325 | 52% |
| Buy and hold | -4.8% | -98.9% | 0.07 | -0.05 | 0.3x | 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 58-day average price crosses above the 173-day average
- Sell — Sell (to cash) when the 58-day average falls below the 173-day average