Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Stroeer SE & Co. KGaA backtest
10 trend-following strategies were compared on the full daily history of Stroeer SE & Co. KGaA. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.4%, MDD -15.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.4%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.6%, MDD -48.8%, Sharpe 0.68, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 4.4%, MDD -15.6%, exposure 9%).
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=48, slow=95 |
13.6% | -48.8% | 0.68 | 0.28 | 7.8x | 37 | 50% |
| Donchian 채널 돌파 entryN=120, exitN=38 |
11.3% | -26.3% | 0.67 | 0.43 | 5.6x | 21 | 36% |
| Supertrend period=10, mult=4.9 |
11.9% | -49.0% | 0.60 | 0.24 | 6.1x | 43 | 51% |
| ADX / DI 방향성 period=49, threshold=22 |
4.4% | -15.6% | 0.52 | 0.28 | 2.0x | 14 | 9% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
7.5% | -37.3% | 0.51 | 0.20 | 3.2x | 39 | 27% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=20, mult=1.2 |
8.0% | -50.3% | 0.47 | 0.16 | 3.5x | 109 | 42% |
| ROC 모멘텀 n=99, threshold=0.02 |
8.3% | -51.5% | 0.47 | 0.16 | 3.6x | 135 | 48% |
| EMA 크로스오버 fast=32, slow=208 |
8.1% | -53.8% | 0.47 | 0.15 | 3.5x | 19 | 46% |
| Parabolic SAR step=0.01, maxStep=0.12 |
0.4% | -63.0% | 0.13 | 0.01 | 1.1x | 192 | 49% |
| MACD fast=7, slow=39, signal=9 |
-4.2% | -78.1% | -0.06 | -0.05 | 0.5x | 364 | 50% |
| Buy and hold | 4.4% | -76.7% | 0.30 | 0.06 | 2.0x | 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 48-day average price crosses above the 95-day average
- Sell — Sell (to cash) when the 48-day average falls below the 95-day average