Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Deutsche Lufthansa AG backtest
10 trend-following strategies were compared on the full daily history of Deutsche Lufthansa AG. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.9%, MDD -34.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.2%, drawdown -77.3%).
Sharpe leader (same as main): Supertrend — CAGR 7.9%, MDD -49.1%, Sharpe 0.43, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 2.9%, MDD -34.9%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=33, mult=3 |
7.9% | -49.1% | 0.43 | 0.16 | 9.5x | 176 | 51% |
| 볼린저 밴드 돌파 n=51, k=2.1 |
5.3% | -36.9% | 0.37 | 0.14 | 4.7x | 98 | 32% |
| ADX / DI 방향성 period=29, threshold=24 |
2.9% | -34.9% | 0.33 | 0.08 | 2.3x | 48 | 10% |
| SMA 크로스오버 fast=36, slow=88 |
4.8% | -53.1% | 0.32 | 0.09 | 4.0x | 92 | 51% |
| EMA 크로스오버 fast=52, slow=67 |
4.1% | -55.4% | 0.29 | 0.07 | 3.3x | 66 | 51% |
| Donchian 채널 돌파 entryN=10, exitN=29 |
3.8% | -66.7% | 0.27 | 0.06 | 3.0x | 160 | 68% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=17, mult=1.1 |
3.6% | -51.5% | 0.27 | 0.07 | 2.8x | 216 | 43% |
| ROC 모멘텀 n=76, threshold=0.03 |
1.3% | -57.3% | 0.16 | 0.02 | 1.5x | 294 | 45% |
| MACD fast=28, slow=73, signal=15 |
0.5% | -66.6% | 0.14 | 0.01 | 1.1x | 262 | 52% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-2.8% | -78.7% | 0.01 | -0.04 | 0.4x | 526 | 51% |
| Buy and hold | 0.2% | -77.3% | 0.19 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 33-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)