Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Airbus SE backtest
10 trend-following strategies were compared on the full daily history of Airbus SE. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.6%, MDD -44.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -75.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.6%, MDD -44.2%, Sharpe 0.46, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 31.7%p (CAGR 8.6%, MDD -44.2%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=47, slow=210 |
8.6% | -44.2% | 0.46 | 0.19 | 7.8x | 29 | 65% |
| Donchian 채널 돌파 entryN=101, exitN=51 |
7.6% | -33.8% | 0.46 | 0.22 | 6.1x | 43 | 53% |
| 볼린저 밴드 돌파 n=85, k=2 |
6.5% | -29.5% | 0.45 | 0.22 | 4.8x | 67 | 38% |
| SMA 크로스오버 fast=8, slow=216 |
7.8% | -56.9% | 0.43 | 0.14 | 6.4x | 67 | 64% |
| ROC 모멘텀 n=112, threshold=0.01 |
5.7% | -58.8% | 0.35 | 0.10 | 4.0x | 247 | 63% |
| Supertrend period=12, mult=4.4 |
5.3% | -60.9% | 0.33 | 0.09 | 3.6x | 93 | 60% |
| Parabolic SAR step=0.01, maxStep=0.28 |
1.5% | -70.8% | 0.18 | 0.02 | 1.5x | 349 | 54% |
| MACD fast=15, slow=24, signal=15 |
1.3% | -57.2% | 0.17 | 0.02 | 1.4x | 385 | 49% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=29, mult=1.1 |
0.2% | -62.0% | 0.11 | 0.00 | 1.0x | 237 | 51% |
| ADX / DI 방향성 period=19, threshold=15 |
-1.9% | -64.9% | 0.01 | -0.03 | 0.6x | 339 | 40% |
| Buy and hold | 9.9% | -75.9% | 0.44 | 0.13 | 10.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 210-day EMA
- Sell — Sell when the 47-day EMA falls below the 210-day EMA