Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Deutsche Boerse AG backtest
10 trend-following strategies were compared on the full daily history of Deutsche Boerse AG. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.5%, MDD -54.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.5%, drawdown -83.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.2%, MDD -70.6%, Sharpe 0.35, 64% exposure.
CAGR reference leader: Supertrend — CAGR 16.5%, MDD -54.3%, exposure 58%.
Return/drawdown alternative: Supertrend — CAGR is 13.3%p lower than buy and hold, while drawdown improves by 12.4%p (CAGR 16.5%, MDD -54.3%, exposure 58%).
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=30, slow=117 |
5.2% | -70.6% | 0.35 | 0.07 | 3.7x | 47 | 64% |
| SMA 크로스오버 fast=54, slow=74 |
5.1% | -60.2% | 0.35 | 0.09 | 3.6x | 109 | 58% |
| 볼린저 밴드 돌파 n=55, k=2.3 |
3.4% | -47.4% | 0.31 | 0.07 | 2.3x | 93 | 33% |
| Donchian 채널 돌파 entryN=71, exitN=76 |
4.0% | -75.1% | 0.29 | 0.05 | 2.7x | 41 | 67% |
| ADX / DI 방향성 period=38, threshold=22 |
2.0% | -28.7% | 0.26 | 0.07 | 1.7x | 28 | 11% |
| Supertrend period=37, mult=5 |
16.5% | -54.3% | 0.24 | 0.30 | 49.2x | 69 | 58% |
| ROC 모멘텀 n=59, threshold=-0.08 |
14.2% | -73.2% | 0.24 | 0.19 | 29.6x | 169 | 83% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=2.1 |
11.8% | -67.0% | 0.21 | 0.18 | 17.3x | 133 | 42% |
| MACD fast=29, slow=55, signal=30 |
6.0% | -80.2% | 0.19 | 0.07 | 4.4x | 221 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
4.5% | -87.2% | 0.18 | 0.05 | 3.1x | 469 | 56% |
| Buy and hold | 18.5% | -83.0% | 0.27 | 0.22 | 76.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 117-day EMA
- Sell — Sell when the 30-day EMA falls below the 117-day EMA