Trend-Following Backtester · Guide · backtest 한국어
equity · DE
SAP SE backtest
10 trend-following strategies were compared on the full daily history of SAP SE. 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 5.5%, drawdown -85.4%).
Sharpe leader (same as main): Supertrend — CAGR 2.3%, MDD -62.1%, Sharpe 0.21, 52% 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=16, mult=4.1 |
2.3% | -62.1% | 0.21 | 0.04 | 1.9x | 131 | 52% |
| SMA 크로스오버 fast=13, slow=76 |
2.0% | -61.7% | 0.20 | 0.03 | 1.7x | 125 | 58% |
| ROC 모멘텀 n=73, threshold=0 |
1.7% | -72.0% | 0.19 | 0.02 | 1.6x | 301 | 58% |
| Donchian 채널 돌파 entryN=18, exitN=47 |
1.1% | -85.0% | 0.18 | 0.01 | 1.4x | 105 | 72% |
| EMA 크로스오버 fast=34, slow=41 |
0.5% | -73.3% | 0.14 | 0.01 | 1.2x | 121 | 58% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=8, mult=1.5 |
0.0% | -73.7% | 0.10 | 0.00 | 1.0x | 167 | 49% |
| 볼린저 밴드 돌파 n=48, k=1.6 |
-0.4% | -69.6% | 0.07 | -0.01 | 0.9x | 171 | 40% |
| ADX / DI 방향성 period=38, threshold=29 |
0.0% | -10.9% | 0.03 | 0.00 | 1.0x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.2% | -75.7% | 0.02 | -0.03 | 0.5x | 269 | 55% |
| MACD fast=15, slow=49, signal=24 |
-3.3% | -74.3% | -0.02 | -0.05 | 0.4x | 307 | 51% |
| Buy and hold | 5.5% | -85.4% | 0.33 | 0.06 | 4.6x | 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) — 16-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)