Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Aurubis AG backtest
10 trend-following strategies were compared on the full daily history of Aurubis AG. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -62.5%).
Sharpe leader (same as main): Supertrend — CAGR 8.0%, MDD -51.3%, Sharpe 0.44, 56% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=5 |
8.0% | -51.3% | 0.44 | 0.16 | 8.4x | 76 | 56% |
| SMA 크로스오버 fast=34, slow=147 |
7.5% | -46.1% | 0.41 | 0.16 | 7.4x | 51 | 59% |
| Donchian 채널 돌파 entryN=42, exitN=65 |
6.7% | -56.6% | 0.38 | 0.12 | 6.1x | 53 | 64% |
| EMA 크로스오버 fast=12, slow=156 |
6.4% | -61.3% | 0.37 | 0.10 | 5.6x | 81 | 60% |
| Keltner 채널 돌파 emaPeriod=94, atrPeriod=23, mult=2.3 |
4.0% | -43.6% | 0.29 | 0.09 | 2.9x | 102 | 45% |
| ROC 모멘텀 n=118, threshold=-0.04 |
3.5% | -67.1% | 0.26 | 0.05 | 2.6x | 213 | 67% |
| ADX / DI 방향성 period=16, threshold=51 |
0.4% | -3.3% | 0.25 | 0.11 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=51, k=1.9 |
2.3% | -47.6% | 0.21 | 0.05 | 1.9x | 138 | 39% |
| MACD fast=18, slow=26, signal=18 |
0.6% | -67.6% | 0.14 | 0.01 | 1.2x | 377 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.1% | -77.0% | 0.13 | 0.00 | 1.0x | 240 | 57% |
| Buy and hold | 10.5% | -62.5% | 0.46 | 0.17 | 16.1x | 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) — 8-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)