Trend-Following Backtester · Guide · backtest 한국어
equity · DE
HUGO BOSS AG backtest
10 trend-following strategies were compared on the full daily history of HUGO BOSS AG. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 13.7%, MDD -35.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.1%, drawdown -83.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.6%, MDD -44.8%, Sharpe 0.66, 58% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 13.7%, MDD -35.6%, 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=272 |
14.6% | -44.8% | 0.66 | 0.33 | 43.0x | 31 | 58% |
| ROC 모멘텀 n=196, threshold=0.03 |
13.7% | -35.6% | 0.64 | 0.39 | 34.8x | 131 | 57% |
| EMA 크로스오버 fast=68, slow=164 |
13.0% | -56.6% | 0.60 | 0.23 | 29.1x | 23 | 59% |
| Donchian 채널 돌파 entryN=100, exitN=101 |
12.4% | -54.3% | 0.58 | 0.23 | 25.2x | 27 | 59% |
| Supertrend period=4, mult=4.8 |
6.0% | -54.6% | 0.35 | 0.11 | 4.9x | 109 | 56% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=2.9 |
3.6% | -42.4% | 0.27 | 0.09 | 2.7x | 92 | 32% |
| ADX / DI 방향성 period=37, threshold=21 |
2.2% | -46.2% | 0.24 | 0.05 | 1.8x | 28 | 7% |
| 볼린저 밴드 돌파 n=49, k=1.1 |
1.1% | -56.0% | 0.16 | 0.02 | 1.3x | 199 | 45% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.9% | -78.5% | 0.07 | -0.02 | 0.6x | 239 | 56% |
| MACD fast=10, slow=38, signal=18 |
-6.7% | -90.9% | -0.13 | -0.07 | 0.1x | 423 | 51% |
| Buy and hold | 4.1% | -83.6% | 0.29 | 0.05 | 3.0x | 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 272-day average
- Sell — Sell (to cash) when the 34-day average falls below the 272-day average