Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Nemetschek SE backtest
10 trend-following strategies were compared on the full daily history of Nemetschek SE. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.9%, MDD -45.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 9.8%, drawdown -98.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.9%, MDD -45.9%, Sharpe 0.78, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 15.1%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 24.9%, MDD -45.9%, exposure 59%).
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=14, slow=145 |
24.9% | -45.9% | 0.78 | 0.54 | 448.2x | 55 | 59% |
| EMA 크로스오버 fast=10, slow=207 |
22.7% | -47.3% | 0.77 | 0.48 | 277.1x | 52 | 65% |
| Donchian 채널 돌파 entryN=94, exitN=78 |
23.2% | -45.9% | 0.74 | 0.50 | 307.6x | 29 | 61% |
| ROC 모멘텀 n=138, threshold=-0.04 |
21.4% | -50.0% | 0.69 | 0.43 | 204.8x | 171 | 66% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=19, mult=1.7 |
12.4% | -69.6% | 0.50 | 0.18 | 25.1x | 137 | 48% |
| Supertrend period=31, mult=4.8 |
12.6% | -79.7% | 0.50 | 0.16 | 26.4x | 97 | 55% |
| Parabolic SAR step=0.035, maxStep=0.06 |
12.6% | -71.6% | 0.49 | 0.18 | 25.8x | 431 | 53% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
9.7% | -49.1% | 0.45 | 0.20 | 12.7x | 91 | 34% |
| ADX / DI 방향성 period=35, threshold=22 |
6.4% | -46.5% | 0.39 | 0.14 | 5.5x | 56 | 15% |
| MACD fast=27, slow=37, signal=31 |
5.1% | -88.3% | 0.31 | 0.06 | 3.9x | 219 | 51% |
| Buy and hold | 9.8% | -98.8% | 0.43 | 0.10 | 13.1x | 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 14-day average price crosses above the 145-day average
- Sell — Sell (to cash) when the 14-day average falls below the 145-day average