Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Bachem Holding AG Class B backtest
10 trend-following strategies were compared on the full daily history of Bachem Holding AG Class B. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.3%, MDD -20.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.3%, drawdown -83.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -61.1%, Sharpe 0.45, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 4.3%, MDD -20.1%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=19, slow=129 |
8.2% | -61.1% | 0.45 | 0.13 | 9.2x | 69 | 53% |
| EMA 크로스오버 fast=19, slow=290 |
7.5% | -68.6% | 0.44 | 0.11 | 7.6x | 37 | 52% |
| ADX / DI 방향성 period=54, threshold=17 |
4.3% | -20.1% | 0.44 | 0.21 | 3.3x | 34 | 12% |
| Donchian 채널 돌파 entryN=40, exitN=61 |
8.0% | -73.5% | 0.43 | 0.11 | 8.8x | 55 | 64% |
| Supertrend period=17, mult=4.5 |
5.8% | -77.9% | 0.36 | 0.07 | 4.9x | 77 | 56% |
| ROC 모멘텀 n=126, threshold=-0.11 |
5.0% | -79.6% | 0.31 | 0.06 | 3.9x | 133 | 77% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=24, mult=1.9 |
2.5% | -81.3% | 0.22 | 0.03 | 2.0x | 127 | 37% |
| 볼린저 밴드 돌파 n=52, k=1.4 |
1.1% | -85.0% | 0.15 | 0.01 | 1.4x | 169 | 37% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-2.4% | -91.5% | 0.01 | -0.03 | 0.5x | 473 | 51% |
| MACD fast=14, slow=56, signal=14 |
-7.1% | -93.6% | -0.20 | -0.08 | 0.1x | 415 | 50% |
| Buy and hold | 5.3% | -83.4% | 0.32 | 0.06 | 4.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 19-day average price crosses above the 129-day average
- Sell — Sell (to cash) when the 19-day average falls below the 129-day average