Trend-Following Backtester · Guide · backtest 한국어
equity · DE
United Internet AG backtest
10 trend-following strategies were compared on the full daily history of United Internet AG. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.9%, MDD -50.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.9%, drawdown -95.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.9%, MDD -50.9%, Sharpe 0.66, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 16.9%, MDD -50.9%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=49, slow=189 |
16.9% | -50.9% | 0.66 | 0.33 | 63.1x | 26 | 63% |
| SMA 크로스오버 fast=59, slow=155 |
14.6% | -53.7% | 0.61 | 0.27 | 36.9x | 38 | 58% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
6.9% | -21.6% | 0.57 | 0.32 | 5.8x | 20 | 9% |
| ADX / DI 방향성 period=30, threshold=37 |
6.8% | -27.7% | 0.54 | 0.25 | 5.7x | 12 | 5% |
| Donchian 채널 돌파 entryN=116, exitN=58 |
10.6% | -60.2% | 0.51 | 0.18 | 14.6x | 34 | 46% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=8, mult=3.4 |
5.1% | -35.1% | 0.40 | 0.15 | 3.8x | 58 | 20% |
| ROC 모멘텀 n=90, threshold=-0.03 |
7.4% | -71.0% | 0.38 | 0.10 | 6.6x | 244 | 62% |
| Supertrend period=25, mult=5 |
6.9% | -69.9% | 0.37 | 0.10 | 5.9x | 78 | 54% |
| Parabolic SAR step=0.015, maxStep=0.38 |
3.8% | -88.3% | 0.27 | 0.04 | 2.7x | 437 | 56% |
| MACD fast=16, slow=28, signal=16 |
-0.5% | -85.8% | 0.14 | -0.01 | 0.9x | 367 | 52% |
| Buy and hold | 9.9% | -95.9% | 0.34 | 0.10 | 12.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 189-day EMA
- Sell — Sell when the 49-day EMA falls below the 189-day EMA