Trend-Following Backtester · Guide · backtest 한국어
equity · DE
SUSS MicroTec SE backtest
10 trend-following strategies were compared on the full daily history of SUSS MicroTec SE. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 20.9%, MDD -46.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.7%, drawdown -98.3%).
Sharpe leader (same as main): Supertrend — CAGR 26.8%, MDD -63.6%, Sharpe 0.77, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.1%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 20.9%, MDD -46.6%, exposure 27%).
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=18, mult=4.6 |
26.8% | -63.6% | 0.77 | 0.42 | 642.7x | 80 | 53% |
| 볼린저 밴드 돌파 n=132, k=0.8 |
23.7% | -56.2% | 0.74 | 0.42 | 328.8x | 70 | 44% |
| ADX / DI 방향성 period=21, threshold=20 |
20.9% | -46.6% | 0.74 | 0.45 | 174.8x | 164 | 27% |
| EMA 크로스오버 fast=18, slow=66 |
24.9% | -68.5% | 0.73 | 0.36 | 421.7x | 86 | 52% |
| SMA 크로스오버 fast=12, slow=103 |
24.7% | -71.6% | 0.73 | 0.34 | 403.4x | 83 | 52% |
| Donchian 채널 돌파 entryN=53, exitN=54 |
21.9% | -70.0% | 0.68 | 0.31 | 218.4x | 54 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=10, mult=3.6 |
15.7% | -70.8% | 0.61 | 0.22 | 52.9x | 68 | 27% |
| ROC 모멘텀 n=69, threshold=0.04 |
17.6% | -76.9% | 0.60 | 0.23 | 82.7x | 295 | 47% |
| Parabolic SAR step=0.005, maxStep=0.22 |
10.6% | -74.4% | 0.44 | 0.14 | 15.7x | 214 | 50% |
| MACD fast=17, slow=53, signal=19 |
4.9% | -88.5% | 0.32 | 0.06 | 3.6x | 286 | 52% |
| Buy and hold | 6.7% | -98.3% | 0.41 | 0.07 | 5.9x | 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) — 18-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)