Trend-Following Backtester · Guide · backtest 한국어
equity · CH
ALSO Holding AG backtest
10 trend-following strategies were compared on the full daily history of ALSO Holding AG. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.4%, MDD -40.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.4%, drawdown -91.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.0%, MDD -52.0%, Sharpe 0.61, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 13.4%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 12.4%, MDD -40.3%, exposure 60%).
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=75, slow=181 |
13.0% | -52.0% | 0.61 | 0.25 | 47.2x | 35 | 61% |
| EMA 크로스오버 fast=55, slow=93 |
12.4% | -40.3% | 0.59 | 0.31 | 40.2x | 35 | 60% |
| Donchian 채널 돌파 entryN=89, exitN=50 |
7.4% | -53.7% | 0.43 | 0.14 | 9.6x | 45 | 50% |
| ROC 모멘텀 n=129, threshold=-0.03 |
6.4% | -58.9% | 0.37 | 0.11 | 7.0x | 205 | 65% |
| ADX / DI 방향성 period=38, threshold=17 |
3.0% | -43.8% | 0.27 | 0.07 | 2.5x | 82 | 17% |
| 볼린저 밴드 돌파 n=59, k=2.8 |
2.5% | -58.7% | 0.23 | 0.04 | 2.2x | 86 | 25% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=4 |
2.1% | -43.2% | 0.21 | 0.05 | 1.9x | 78 | 20% |
| Parabolic SAR step=0.01, maxStep=0.16 |
0.5% | -67.7% | 0.14 | 0.01 | 1.2x | 340 | 51% |
| Supertrend period=10, mult=4.9 |
0.0% | -87.0% | 0.13 | 0.00 | 1.0x | 133 | 58% |
| MACD fast=24, slow=34, signal=22 |
-6.4% | -92.2% | -0.13 | -0.07 | 0.1x | 362 | 48% |
| Buy and hold | -0.4% | -91.7% | 0.28 | -0.00 | 0.9x | 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 75-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 75-day average falls below the 181-day average