Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Fraport AG backtest
10 trend-following strategies were compared on the full daily history of Fraport AG. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.0%, MDD -42.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.7%, drawdown -69.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -42.4%, Sharpe 0.39, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 6.0%, MDD -42.4%, 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=48, slow=148 |
6.0% | -42.4% | 0.39 | 0.14 | 4.4x | 44 | 57% |
| Donchian 채널 돌파 entryN=95, exitN=69 |
4.8% | -43.4% | 0.34 | 0.11 | 3.3x | 32 | 50% |
| EMA 크로스오버 fast=71, slow=188 |
4.3% | -46.5% | 0.31 | 0.09 | 2.9x | 28 | 58% |
| ROC 모멘텀 n=169, threshold=0.08 |
3.4% | -58.5% | 0.28 | 0.06 | 2.3x | 154 | 44% |
| 볼린저 밴드 돌파 n=55, k=3.3 |
2.0% | -19.0% | 0.26 | 0.10 | 1.6x | 28 | 13% |
| ADX / DI 방향성 period=35, threshold=27 |
1.1% | -15.5% | 0.25 | 0.07 | 1.3x | 10 | 5% |
| Supertrend period=27, mult=3.5 |
-0.2% | -52.3% | 0.09 | -0.00 | 0.9x | 124 | 51% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=19, mult=3.5 |
0.2% | -45.6% | 0.08 | 0.00 | 1.1x | 60 | 25% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.3% | -65.1% | -0.00 | -0.04 | 0.6x | 214 | 53% |
| MACD fast=17, slow=42, signal=12 |
-7.0% | -88.7% | -0.23 | -0.08 | 0.2x | 352 | 51% |
| Buy and hold | 2.7% | -69.0% | 0.24 | 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 48-day average price crosses above the 148-day average
- Sell — Sell (to cash) when the 48-day average falls below the 148-day average