Trend-Following Backtester · Guide · backtest 한국어
equity · DE
CTS Eventim AG & Co. KGaA backtest
10 trend-following strategies were compared on the full daily history of CTS Eventim AG & Co. KGaA. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.9%, MDD -55.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.7%, drawdown -96.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.9%, MDD -55.1%, Sharpe 0.72, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 17.9%, MDD -55.1%, exposure 65%).
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=59, slow=262 |
17.9% | -55.1% | 0.72 | 0.33 | 79.2x | 20 | 65% |
| EMA 크로스오버 fast=59, slow=196 |
15.1% | -59.1% | 0.64 | 0.25 | 41.2x | 22 | 66% |
| ROC 모멘텀 n=97, threshold=-0.06 |
13.8% | -66.1% | 0.56 | 0.21 | 30.9x | 206 | 73% |
| Donchian 채널 돌파 entryN=108, exitN=41 |
9.4% | -58.0% | 0.49 | 0.16 | 10.9x | 46 | 48% |
| ADX / DI 방향성 period=40, threshold=23 |
5.2% | -40.9% | 0.44 | 0.13 | 3.8x | 22 | 8% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
3.8% | -42.5% | 0.35 | 0.09 | 2.7x | 20 | 8% |
| Supertrend period=21, mult=3.2 |
6.6% | -66.6% | 0.35 | 0.10 | 5.5x | 181 | 57% |
| MACD fast=15, slow=34, signal=7 |
5.6% | -74.5% | 0.32 | 0.07 | 4.2x | 457 | 50% |
| Parabolic SAR step=0.02, maxStep=0.18 |
4.5% | -73.3% | 0.29 | 0.06 | 3.2x | 529 | 54% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=1.5 |
1.4% | -71.4% | 0.19 | 0.02 | 1.4x | 193 | 47% |
| Buy and hold | 11.7% | -96.1% | 0.46 | 0.12 | 18.6x | 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 59-day average price crosses above the 262-day average
- Sell — Sell (to cash) when the 59-day average falls below the 262-day average