Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Julius Baer Gruppe AG backtest
10 trend-following strategies were compared on the full daily history of Julius Baer Gruppe AG. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.0%, drawdown -88.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -22.3%, Sharpe 0.37, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.7%, MDD -76.1%, exposure 57%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=32 |
1.7% | -22.3% | 0.37 | 0.08 | 1.7x | 10 | 3% |
| SMA 크로스오버 fast=57, slow=214 |
6.7% | -76.1% | 0.35 | 0.09 | 7.7x | 37 | 57% |
| EMA 크로스오버 fast=55, slow=157 |
4.4% | -76.1% | 0.28 | 0.06 | 3.8x | 45 | 57% |
| 볼린저 밴드 돌파 n=66, k=3.1 |
2.7% | -53.9% | 0.21 | 0.05 | 2.3x | 24 | 12% |
| ROC 모멘텀 n=127, threshold=0.02 |
2.2% | -85.6% | 0.21 | 0.03 | 2.0x | 225 | 52% |
| Supertrend period=10, mult=5 |
2.3% | -88.4% | 0.21 | 0.03 | 2.0x | 123 | 52% |
| Donchian 채널 돌파 entryN=19, exitN=60 |
1.5% | -89.0% | 0.20 | 0.02 | 1.6x | 101 | 77% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=27, mult=0.7 |
0.8% | -88.2% | 0.16 | 0.01 | 1.3x | 269 | 53% |
| MACD fast=10, slow=42, signal=23 |
-0.7% | -89.1% | 0.11 | -0.01 | 0.8x | 406 | 50% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-4.6% | -96.3% | -0.06 | -0.05 | 0.2x | 542 | 53% |
| Buy and hold | 6.0% | -88.2% | 0.33 | 0.07 | 6.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)