Trend-Following Backtester · Guide · backtest 한국어

equity · DE

TUI AG backtest

10 trend-following strategies were compared on the full daily history of TUI AG. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.7%, MDD -54.0%).

Data 1998-02-06 ~ 2026-07-31daily bars 7,288 (28.5 years)Costs 0.5%Venue XETRMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -8.0%, drawdown -97.0%).

Sharpe leader (same as main): Supertrend — CAGR 4.1%, MDD -63.5%, Sharpe 0.28, 48% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 1.7%, MDD -54.0%, exposure 19%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=6, mult=3
4.1%-63.5%0.280.063.1x19148%
Donchian 채널 돌파
entryN=60, exitN=33
2.4%-73.7%0.220.032.0x6839%
SMA 크로스오버
fast=16, slow=84
1.8%-65.4%0.200.031.6x10550%
Keltner 채널 돌파
emaPeriod=27, atrPeriod=16, mult=2.4
1.7%-54.0%0.180.031.6x12419%
MACD
fast=9, slow=43, signal=11
0.2%-85.0%0.160.001.1x48551%
볼린저 밴드 돌파
n=45, k=1.2
0.8%-61.0%0.150.011.2x18739%
EMA 크로스오버
fast=19, slow=64
0.4%-70.9%0.140.011.1x11348%
ADX / DI 방향성
period=14, threshold=19
-0.4%-62.6%0.10-0.010.9x40033%
ROC 모멘텀
n=123, threshold=0.05
-1.3%-61.6%0.06-0.020.7x22041%
Parabolic SAR
step=0.02, maxStep=0.14
-3.2%-75.4%0.04-0.040.4x59351%
Buy and hold-8.0%-97.0%0.03-0.080.1x1100%
0.1 1x 1999 2003 2007 2011 2015 2019 2023 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -49% -73% -97% 1999 2003 2007 2011 2015 2019 2023 Buy and holdSupertrend
Supertrend maximum drawdown -63.5% (2015-04-27 → 2020-10-15), prior peak not yet recovered.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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