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. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.5%, MDD -40.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.2%, drawdown -98.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.9%, MDD -64.3%, Sharpe 0.42, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 4.5%, MDD -40.0%, exposure 38%).
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=31, slow=217 |
6.9% | -64.3% | 0.42 | 0.11 | 5.9x | 26 | 55% |
| SMA 크로스오버 fast=18, slow=247 |
6.4% | -65.3% | 0.40 | 0.10 | 5.3x | 36 | 54% |
| 볼린저 밴드 돌파 n=60, k=1.9 |
4.5% | -40.0% | 0.33 | 0.11 | 3.2x | 100 | 38% |
| ROC 모멘텀 n=78, threshold=-0.09 |
4.2% | -81.8% | 0.29 | 0.05 | 3.0x | 180 | 73% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=3.1 |
3.2% | -53.5% | 0.28 | 0.06 | 2.4x | 72 | 29% |
| Donchian 채널 돌파 entryN=44, exitN=43 |
3.3% | -83.8% | 0.26 | 0.04 | 2.4x | 72 | 55% |
| Parabolic SAR step=0.005, maxStep=0.1 |
1.7% | -77.3% | 0.20 | 0.02 | 1.6x | 208 | 56% |
| ADX / DI 방향성 period=31, threshold=13 |
1.1% | -67.1% | 0.16 | 0.02 | 1.3x | 204 | 38% |
| Supertrend period=28, mult=4 |
0.5% | -77.4% | 0.15 | 0.01 | 1.1x | 106 | 57% |
| MACD fast=28, slow=39, signal=29 |
-3.9% | -89.9% | -0.01 | -0.04 | 0.3x | 234 | 49% |
| Buy and hold | -3.2% | -98.4% | 0.12 | -0.03 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 217-day EMA
- Sell — Sell when the 31-day EMA falls below the 217-day EMA