Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Stabilus SE backtest
10 trend-following strategies were compared on the full daily history of Stabilus SE. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.4%, MDD -3.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.1%, drawdown -84.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -53.0%, Sharpe 0.43, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.2%p higher than buy and hold, while drawdown improves by 31.8%p (CAGR 0.4%, MDD -3.3%, exposure 1%).
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=59, slow=151 |
7.0% | -53.0% | 0.43 | 0.13 | 2.0x | 10 | 43% |
| ROC 모멘텀 n=126, threshold=0.09 |
4.4% | -35.2% | 0.34 | 0.13 | 1.6x | 32 | 32% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
0.4% | -3.3% | 0.25 | 0.13 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=81, exitN=73 |
2.5% | -40.0% | 0.22 | 0.06 | 1.3x | 12 | 41% |
| ADX / DI 방향성 period=38, threshold=18 |
1.6% | -21.0% | 0.21 | 0.07 | 1.2x | 12 | 10% |
| EMA 크로스오버 fast=30, slow=86 |
0.5% | -42.7% | 0.13 | 0.01 | 1.1x | 22 | 45% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=11, mult=4 |
0.3% | -9.6% | 0.09 | 0.04 | 1.0x | 2 | 2% |
| Supertrend period=29, mult=4.1 |
-2.2% | -56.4% | 0.02 | -0.04 | 0.8x | 41 | 48% |
| MACD fast=17, slow=30, signal=6 |
-8.1% | -74.1% | -0.20 | -0.11 | 0.4x | 185 | 51% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-13.4% | -86.1% | -0.46 | -0.16 | 0.2x | 153 | 52% |
| Buy and hold | -9.1% | -84.8% | -0.08 | -0.11 | 0.4x | 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 59-day average price crosses above the 151-day average
- Sell — Sell (to cash) when the 59-day average falls below the 151-day average