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. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 6.1%, drawdown -88.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -17.0%, Sharpe 0.40, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.9%, 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=38, threshold=33 |
1.8% | -17.0% | 0.40 | 0.10 | 1.7x | 8 | 3% |
| SMA 크로스오버 fast=57, slow=214 |
6.9% | -76.1% | 0.35 | 0.09 | 8.1x | 37 | 57% |
| EMA 크로스오버 fast=56, slow=235 |
6.1% | -75.7% | 0.33 | 0.08 | 6.5x | 39 | 58% |
| Donchian 채널 돌파 entryN=12, exitN=63 |
3.0% | -80.9% | 0.24 | 0.04 | 2.5x | 111 | 82% |
| ROC 모멘텀 n=139, threshold=-0.04 |
3.2% | -82.3% | 0.24 | 0.04 | 2.7x | 233 | 64% |
| 볼린저 밴드 돌파 n=40, k=2.8 |
2.1% | -61.5% | 0.23 | 0.03 | 1.9x | 56 | 15% |
| Supertrend period=10, mult=5 |
2.4% | -88.4% | 0.21 | 0.03 | 2.1x | 123 | 52% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=23, mult=0.9 |
1.2% | -84.6% | 0.17 | 0.01 | 1.5x | 245 | 52% |
| MACD fast=14, slow=46, signal=16 |
-0.7% | -88.5% | 0.11 | -0.01 | 0.8x | 398 | 50% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-4.7% | -96.3% | -0.07 | -0.05 | 0.2x | 547 | 53% |
| Buy and hold | 6.1% | -88.2% | 0.33 | 0.07 | 6.4x | 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, 38-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)