Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Allreal Holding AG backtest
10 trend-following strategies were compared on the full daily history of Allreal Holding AG. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 2.7%, MDD -31.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.3%, drawdown -42.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -10.2%, Sharpe 0.43, 9% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.6%, MDD -36.8%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 32.0%p (CAGR 2.7%, MDD -31.7%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=55, k=3.4 |
1.7% | -10.2% | 0.43 | 0.17 | 1.6x | 16 | 9% |
| ADX / DI 방향성 period=38, threshold=20 |
2.1% | -15.8% | 0.43 | 0.13 | 1.7x | 38 | 16% |
| EMA 크로스오버 fast=59, slow=214 |
2.7% | -31.7% | 0.33 | 0.09 | 2.0x | 27 | 59% |
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.06 |
3.6% | -36.8% | 0.32 | 0.10 | 2.5x | 23 | 99% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=3.6 |
1.6% | -16.9% | 0.29 | 0.10 | 1.5x | 56 | 23% |
| SMA 크로스오버 fast=53, slow=163 |
2.2% | -36.2% | 0.27 | 0.06 | 1.8x | 42 | 58% |
| Donchian 채널 돌파 entryN=70, exitN=103 |
2.2% | -34.0% | 0.26 | 0.07 | 1.8x | 35 | 65% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-1.3% | -53.8% | -0.08 | -0.02 | 0.7x | 179 | 55% |
| Supertrend period=12, mult=4.9 |
-1.4% | -55.4% | -0.10 | -0.03 | 0.7x | 92 | 56% |
| MACD fast=31, slow=34, signal=18 |
-2.1% | -55.3% | -0.16 | -0.04 | 0.6x | 251 | 52% |
| Buy and hold | 3.3% | -42.3% | 0.30 | 0.08 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 55-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 55-day middle average