Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Vonovia SE backtest
10 trend-following strategies were compared on the full daily history of Vonovia SE. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.4%, MDD -34.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.6%, drawdown -68.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -34.1%, Sharpe 0.46, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 7.4%, MDD -34.1%, exposure 59%).
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=36, slow=242 |
7.4% | -34.1% | 0.46 | 0.22 | 2.5x | 12 | 59% |
| EMA 크로스오버 fast=57, slow=122 |
5.6% | -36.9% | 0.37 | 0.15 | 2.0x | 18 | 62% |
| Supertrend period=26, mult=5 |
4.6% | -43.3% | 0.34 | 0.11 | 1.8x | 34 | 59% |
| 볼린저 밴드 돌파 n=59, k=3.2 |
1.8% | -18.9% | 0.32 | 0.09 | 1.3x | 4 | 5% |
| Donchian 채널 돌파 entryN=41, exitN=41 |
3.3% | -36.8% | 0.27 | 0.09 | 1.5x | 34 | 52% |
| ADX / DI 방향성 period=21, threshold=39 |
0.4% | -7.6% | 0.21 | 0.05 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=97, threshold=-0.01 |
-0.6% | -52.7% | 0.07 | -0.01 | 0.9x | 110 | 62% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=11, mult=1.6 |
-0.7% | -31.7% | 0.03 | -0.02 | 0.9x | 94 | 43% |
| MACD fast=18, slow=64, signal=18 |
-1.8% | -46.2% | 0.00 | -0.04 | 0.8x | 137 | 52% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-6.0% | -64.1% | -0.23 | -0.09 | 0.4x | 188 | 51% |
| Buy and hold | 4.6% | -68.5% | 0.30 | 0.07 | 1.8x | 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 36-day average price crosses above the 242-day average
- Sell — Sell (to cash) when the 36-day average falls below the 242-day average