Trend-Following Backtester · Guide · backtest 한국어
equity · DE
TUI AG backtest
10 trend-following strategies were compared on the full daily history of TUI AG. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.5%, MDD -54.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.2%, drawdown -97.0%).
Sharpe leader (same as main): Supertrend — CAGR 3.8%, MDD -63.5%, Sharpe 0.27, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 1.5%, MDD -54.0%, exposure 19%).
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=6, mult=3 |
3.8% | -63.5% | 0.27 | 0.06 | 2.9x | 192 | 48% |
| Donchian 채널 돌파 entryN=60, exitN=33 |
2.1% | -73.7% | 0.20 | 0.03 | 1.8x | 69 | 39% |
| SMA 크로스오버 fast=16, slow=84 |
1.5% | -65.4% | 0.19 | 0.02 | 1.5x | 105 | 50% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=16, mult=2.4 |
1.5% | -54.0% | 0.17 | 0.03 | 1.5x | 126 | 19% |
| MACD fast=9, slow=43, signal=11 |
0.1% | -85.0% | 0.16 | 0.00 | 1.0x | 486 | 51% |
| 볼린저 밴드 돌파 n=45, k=1.2 |
0.6% | -61.0% | 0.15 | 0.01 | 1.2x | 188 | 39% |
| EMA 크로스오버 fast=19, slow=64 |
0.1% | -70.9% | 0.13 | 0.00 | 1.0x | 113 | 49% |
| ADX / DI 방향성 period=14, threshold=19 |
-0.6% | -64.7% | 0.09 | -0.01 | 0.8x | 402 | 33% |
| ROC 모멘텀 n=123, threshold=0.05 |
-1.3% | -61.6% | 0.06 | -0.02 | 0.7x | 220 | 41% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-3.3% | -75.4% | 0.04 | -0.04 | 0.4x | 594 | 50% |
| Buy and hold | -8.2% | -97.0% | 0.03 | -0.08 | 0.1x | 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) — 6-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)