Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Scout24 SE backtest
10 trend-following strategies were compared on the full daily history of Scout24 SE. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -48.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -44.3%, Sharpe 0.51, 66% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=23, slow=111 |
8.5% | -44.3% | 0.51 | 0.19 | 2.4x | 23 | 66% |
| ROC 모멘텀 n=91, threshold=-0.07 |
7.1% | -45.0% | 0.42 | 0.16 | 2.1x | 51 | 75% |
| Supertrend period=16, mult=2.9 |
6.2% | -34.2% | 0.40 | 0.18 | 1.9x | 75 | 62% |
| Donchian 채널 돌파 entryN=89, exitN=50 |
4.7% | -34.1% | 0.38 | 0.14 | 1.7x | 21 | 47% |
| EMA 크로스오버 fast=10, slow=117 |
5.4% | -43.8% | 0.38 | 0.12 | 1.8x | 39 | 63% |
| ADX / DI 방향성 period=37, threshold=13 |
3.4% | -29.9% | 0.31 | 0.11 | 1.4x | 50 | 32% |
| Parabolic SAR step=0.005, maxStep=0.24 |
3.3% | -36.2% | 0.27 | 0.09 | 1.4x | 91 | 56% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=35, mult=4 |
1.4% | -28.2% | 0.20 | 0.05 | 1.2x | 18 | 18% |
| MACD fast=20, slow=57, signal=24 |
1.5% | -39.4% | 0.17 | 0.04 | 1.2x | 97 | 52% |
| 볼린저 밴드 돌파 n=51, k=3.4 |
0.3% | -9.0% | 0.08 | 0.03 | 1.0x | 4 | 4% |
| Buy and hold | 9.6% | -48.2% | 0.47 | 0.20 | 2.7x | 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 23-day average price crosses above the 111-day average
- Sell — Sell (to cash) when the 23-day average falls below the 111-day average