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. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 1.3%, drawdown -42.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.6%, MDD -1.8%, Sharpe 0.57, 1% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 0.8%, MDD -2.7%, exposure 1%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=4, atrPeriod=14, mult=3 |
0.6% | -1.8% | 0.57 | 0.33 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
0.8% | -2.7% | 0.47 | 0.29 | 1.1x | 2 | 1% |
| ROC 모멘텀 Hold-like · Exposure 98% n=5, threshold=-0.09 |
0.2% | -40.2% | 0.14 | 0.01 | 1.0x | 25 | 98% |
| SMA 크로스오버 fast=59, slow=216 |
-2.0% | -39.0% | -0.06 | -0.05 | 0.9x | 12 | 41% |
| MACD fast=14, slow=28, signal=16 |
-4.0% | -46.7% | -0.13 | -0.09 | 0.7x | 91 | 52% |
| ADX / DI 방향성 period=19, threshold=38 |
-0.2% | -3.9% | -0.19 | -0.06 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=26, exitN=56 |
-5.8% | -46.7% | -0.19 | -0.12 | 0.6x | 25 | 62% |
| EMA 크로스오버 fast=15, slow=142 |
-8.1% | -46.1% | -0.41 | -0.18 | 0.5x | 24 | 46% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-10.0% | -60.1% | -0.49 | -0.17 | 0.5x | 98 | 52% |
| Supertrend period=27, mult=4.2 |
-10.4% | -63.4% | -0.51 | -0.16 | 0.4x | 39 | 55% |
| Buy and hold | 1.3% | -42.4% | 0.19 | 0.03 | 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 4-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 4-day average