Trend-Following Backtester · Guide · backtest 한국어
equity · AT
STRABAG SE backtest
10 trend-following strategies were compared on the full daily history of STRABAG SE. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.2%, MDD -23.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.8%, drawdown -82.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.1%, MDD -38.3%, Sharpe 0.38, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 43.8%p (CAGR 3.2%, MDD -23.6%, exposure 10%).
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=34, slow=126 |
6.1% | -38.3% | 0.38 | 0.16 | 3.1x | 44 | 54% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
3.2% | -23.6% | 0.31 | 0.13 | 1.8x | 16 | 10% |
| EMA 크로스오버 fast=50, slow=221 |
3.9% | -37.8% | 0.28 | 0.10 | 2.0x | 27 | 57% |
| ADX / DI 방향성 period=19, threshold=21 |
2.4% | -33.6% | 0.23 | 0.07 | 1.6x | 98 | 19% |
| Donchian 채널 돌파 entryN=58, exitN=74 |
2.6% | -45.1% | 0.23 | 0.06 | 1.6x | 34 | 64% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=3.7 |
1.3% | -19.8% | 0.19 | 0.07 | 1.3x | 6 | 2% |
| ROC 모멘텀 n=12, threshold=0.11 |
1.1% | -37.9% | 0.15 | 0.03 | 1.2x | 120 | 6% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-2.1% | -70.6% | 0.02 | -0.03 | 0.7x | 238 | 53% |
| Supertrend period=15, mult=4 |
-2.2% | -71.3% | 0.02 | -0.03 | 0.7x | 74 | 53% |
| MACD fast=14, slow=30, signal=19 |
-3.0% | -75.2% | -0.02 | -0.04 | 0.6x | 254 | 50% |
| Buy and hold | 2.8% | -82.0% | 0.25 | 0.03 | 1.7x | 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 34-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 34-day average falls below the 126-day average