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. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.5%, MDD -37.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.4%, drawdown -82.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.1%, MDD -38.3%, Sharpe 0.37, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 43.8%p (CAGR 4.5%, MDD -37.8%, exposure 57%).
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% | 0.37 | 0.16 | 3.1x | 44 | 54% |
| EMA 크로스오버 fast=50, slow=221 |
4.5% | -37.8% | 0.31 | 0.12 | 2.3x | 27 | 57% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
2.9% | -23.6% | 0.29 | 0.12 | 1.7x | 17 | 10% |
| 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 |
2.3% | -45.1% | 0.21 | 0.05 | 1.5x | 35 | 64% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=3.7 |
1.0% | -19.8% | 0.16 | 0.05 | 1.2x | 7 | 2% |
| ROC 모멘텀 n=12, threshold=0.11 |
0.8% | -37.9% | 0.12 | 0.02 | 1.2x | 121 | 6% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-2.0% | -70.6% | 0.03 | -0.03 | 0.7x | 241 | 53% |
| Supertrend period=15, mult=4 |
-2.5% | -71.3% | 0.01 | -0.03 | 0.6x | 75 | 53% |
| MACD fast=14, slow=30, signal=19 |
-2.6% | -75.2% | 0.00 | -0.03 | 0.6x | 255 | 50% |
| Buy and hold | 3.4% | -82.0% | 0.27 | 0.04 | 1.9x | 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