Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Aryzta AG backtest
10 trend-following strategies were compared on the full daily history of Aryzta AG. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.3%, MDD -50.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.0%, drawdown -98.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.5%, MDD -63.8%, Sharpe 0.41, 55% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.1%, MDD -76.3%, exposure 56%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 34.6%p (CAGR 5.3%, MDD -50.9%, exposure 34%).
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=43, slow=210 |
6.5% | -63.8% | 0.41 | 0.10 | 5.3x | 24 | 55% |
| ROC 모멘텀 n=170, threshold=0.14 |
5.3% | -50.9% | 0.40 | 0.10 | 3.9x | 152 | 34% |
| SMA 크로스오버 fast=53, slow=89 |
7.1% | -76.3% | 0.40 | 0.09 | 6.2x | 70 | 56% |
| 볼린저 밴드 돌파 n=70, k=1.9 |
4.2% | -53.5% | 0.31 | 0.08 | 3.0x | 82 | 39% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=3.1 |
3.3% | -53.5% | 0.28 | 0.06 | 2.4x | 72 | 30% |
| Donchian 채널 돌파 entryN=25, exitN=49 |
2.8% | -85.8% | 0.24 | 0.03 | 2.1x | 82 | 66% |
| Supertrend period=33, mult=3.8 |
1.3% | -78.3% | 0.18 | 0.02 | 1.4x | 114 | 57% |
| ADX / DI 방향성 period=28, threshold=13 |
-0.8% | -84.3% | 0.08 | -0.01 | 0.8x | 242 | 39% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-5.1% | -84.9% | -0.07 | -0.06 | 0.3x | 438 | 54% |
| MACD fast=19, slow=59, signal=21 |
-7.7% | -95.1% | -0.14 | -0.08 | 0.1x | 276 | 50% |
| Buy and hold | -2.0% | -98.4% | 0.15 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 210-day EMA
- Sell — Sell when the 43-day EMA falls below the 210-day EMA