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 Keltner 채널 돌파 (CAGR 2.2%, MDD -11.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.8%, drawdown -42.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -10.2%, Sharpe 0.44, 10% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.1%, MDD -38.9%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 32.0%p (CAGR 2.2%, MDD -11.3%, exposure 21%).
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=3.3 |
1.7% | -10.2% | 0.44 | 0.17 | 1.6x | 18 | 10% |
| ADX / DI 방향성 period=28, threshold=24 |
2.0% | -13.1% | 0.42 | 0.15 | 1.7x | 52 | 14% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=3.9 |
2.2% | -11.3% | 0.39 | 0.19 | 1.8x | 46 | 21% |
| EMA 크로스오버 fast=58, slow=214 |
2.5% | -30.8% | 0.30 | 0.08 | 1.9x | 28 | 59% |
| ROC 모멘텀 Hold-like · Exposure 100% n=6, threshold=-0.09 |
3.1% | -38.9% | 0.29 | 0.08 | 2.3x | 9 | 100% |
| SMA 크로스오버 fast=59, slow=165 |
2.4% | -32.5% | 0.29 | 0.07 | 1.9x | 40 | 57% |
| Donchian 채널 돌파 entryN=71, exitN=89 |
2.2% | -34.0% | 0.26 | 0.06 | 1.8x | 38 | 63% |
| Supertrend period=27, mult=4.8 |
-0.3% | -47.3% | 0.02 | -0.01 | 0.9x | 86 | 58% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-1.4% | -53.8% | -0.09 | -0.03 | 0.7x | 180 | 55% |
| MACD fast=23, slow=35, signal=23 |
-2.0% | -57.0% | -0.16 | -0.04 | 0.6x | 254 | 51% |
| Buy and hold | 2.8% | -42.3% | 0.27 | 0.07 | 2.1x | 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 (3.3× volatility)
- Sell — Sell when the close falls back to the 55-day middle average