Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Alcon AG backtest
10 trend-following strategies were compared on the full daily history of Alcon AG. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.7%, MDD -2.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.0%, drawdown -42.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.6%, MDD -1.8%, Sharpe 0.56, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.2%, MDD -18.0%, exposure 41%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 40.6%p (CAGR 0.7%, MDD -2.7%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=10, mult=2.7 |
0.6% | -1.8% | 0.56 | 0.32 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=101, slow=189 |
7.2% | -18.0% | 0.53 | 0.40 | 1.7x | 6 | 41% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
0.7% | -2.7% | 0.46 | 0.28 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=4, threshold=0.13 |
0.3% | -5.2% | 0.11 | 0.06 | 1.0x | 6 | 0% |
| ADX / DI 방향성 period=7, threshold=40 |
-0.1% | -11.6% | 0.02 | -0.01 | 1.0x | 38 | 10% |
| MACD fast=12, slow=26, signal=19 |
-3.1% | -47.0% | -0.08 | -0.07 | 0.8x | 92 | 52% |
| Donchian 채널 돌파 entryN=93, exitN=61 |
-3.6% | -32.6% | -0.20 | -0.11 | 0.8x | 12 | 35% |
| EMA 크로스오버 fast=71, slow=278 |
-5.0% | -41.0% | -0.21 | -0.12 | 0.7x | 12 | 48% |
| Supertrend period=29, mult=2 |
-9.3% | -58.5% | -0.42 | -0.16 | 0.5x | 104 | 54% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-9.5% | -60.1% | -0.46 | -0.16 | 0.5x | 100 | 51% |
| Buy and hold | 1.0% | -42.4% | 0.17 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 5-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 5-day average