Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Adecco Group AG backtest
10 trend-following strategies were compared on the full daily history of Adecco Group AG. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.3%, MDD -13.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.4%, drawdown -90.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.8%, MDD -65.9%, Sharpe 0.15, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR -0.3%, MDD -13.9%, exposure 3%).
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=34, slow=118 |
0.8% | -65.9% | 0.15 | 0.01 | 1.3x | 58 | 47% |
| EMA 크로스오버 fast=37, slow=68 |
0.8% | -52.2% | 0.14 | 0.01 | 1.2x | 69 | 47% |
| 볼린저 밴드 돌파 n=45, k=3.4 |
0.4% | -21.2% | 0.09 | 0.02 | 1.1x | 11 | 3% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.8% | -70.0% | 0.09 | -0.01 | 0.8x | 215 | 48% |
| ROC 모멘텀 n=136, threshold=-0.02 |
-0.6% | -56.8% | 0.08 | -0.01 | 0.8x | 163 | 49% |
| Supertrend period=13, mult=2.9 |
-1.3% | -71.4% | 0.06 | -0.02 | 0.7x | 209 | 50% |
| Donchian 채널 돌파 entryN=78, exitN=83 |
-1.3% | -71.0% | 0.05 | -0.02 | 0.7x | 45 | 49% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=18, mult=1.6 |
-2.1% | -64.6% | -0.01 | -0.03 | 0.6x | 191 | 35% |
| ADX / DI 방향성 period=24, threshold=28 |
-0.3% | -13.9% | -0.05 | -0.02 | 0.9x | 20 | 3% |
| MACD fast=7, slow=58, signal=17 |
-7.5% | -93.7% | -0.19 | -0.08 | 0.1x | 429 | 51% |
| Buy and hold | -4.4% | -90.1% | 0.05 | -0.05 | 0.3x | 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 34-day average price crosses above the 118-day average
- Sell — Sell (to cash) when the 34-day average falls below the 118-day average