Trend-Following Backtester · Guide · backtest 한국어
equity · DE
PUMA SE backtest
10 trend-following strategies were compared on the full daily history of PUMA SE. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.7%, MDD -51.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.4%, drawdown -86.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.7%, MDD -51.7%, Sharpe 0.53, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 34.8%p (CAGR 10.7%, MDD -51.7%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=47, slow=353 |
10.7% | -51.7% | 0.53 | 0.21 | 20.5x | 21 | 55% |
| Donchian 채널 돌파 entryN=145, exitN=103 |
7.9% | -56.0% | 0.43 | 0.14 | 9.7x | 29 | 50% |
| SMA 크로스오버 fast=38, slow=213 |
8.2% | -68.1% | 0.43 | 0.12 | 10.5x | 43 | 56% |
| ADX / DI 방향성 period=44, threshold=29 |
3.1% | -18.1% | 0.42 | 0.17 | 2.5x | 8 | 4% |
| ROC 모멘텀 n=134, threshold=-0.01 |
4.6% | -76.1% | 0.30 | 0.06 | 3.8x | 259 | 58% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
3.8% | -63.9% | 0.29 | 0.06 | 3.0x | 96 | 33% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=23, mult=1.9 |
3.0% | -73.8% | 0.25 | 0.04 | 2.4x | 140 | 41% |
| Supertrend period=16, mult=3.3 |
1.7% | -79.8% | 0.20 | 0.02 | 1.6x | 186 | 59% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-1.4% | -77.5% | 0.09 | -0.02 | 0.7x | 386 | 53% |
| MACD fast=16, slow=19, signal=17 |
-2.0% | -86.7% | 0.06 | -0.02 | 0.5x | 440 | 49% |
| Buy and hold | 8.4% | -86.5% | 0.39 | 0.10 | 11.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 353-day EMA
- Sell — Sell when the 47-day EMA falls below the 353-day EMA