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; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.5%, MDD -40.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.4%, drawdown -91.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.5%, MDD -40.9%, Sharpe 0.59, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 50.8%p (CAGR 12.5%, MDD -40.9%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=56, slow=92 |
12.5% | -40.9% | 0.59 | 0.31 | 40.1x | 35 | 60% |
| SMA 크로스오버 fast=39, slow=162 |
12.4% | -45.2% | 0.59 | 0.27 | 38.9x | 41 | 60% |
| Donchian 채널 돌파 entryN=112, exitN=72 |
7.3% | -44.4% | 0.42 | 0.16 | 9.0x | 40 | 52% |
| ROC 모멘텀 n=140, threshold=0 |
5.7% | -60.4% | 0.34 | 0.09 | 5.6x | 202 | 61% |
| ADX / DI 방향성 period=38, threshold=17 |
3.0% | -43.8% | 0.27 | 0.07 | 2.5x | 82 | 17% |
| 볼린저 밴드 돌파 n=82, k=2.2 |
2.7% | -57.6% | 0.24 | 0.05 | 2.3x | 86 | 31% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=15, mult=4 |
1.7% | -48.7% | 0.19 | 0.04 | 1.7x | 80 | 20% |
| Parabolic SAR step=0.01, maxStep=0.34 |
0.6% | -67.7% | 0.15 | 0.01 | 1.2x | 338 | 51% |
| Supertrend period=8, mult=5 |
-0.3% | -86.0% | 0.12 | -0.00 | 0.9x | 137 | 59% |
| MACD fast=23, slow=52, signal=18 |
-7.7% | -94.7% | -0.18 | -0.08 | 0.1x | 368 | 48% |
| Buy and hold | -0.4% | -91.7% | 0.28 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 92-day EMA
- Sell — Sell when the 56-day EMA falls below the 92-day EMA