Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Barry Callebaut AG backtest
10 trend-following strategies were compared on the full daily history of Barry Callebaut AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.8%, MDD -31.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.4%, drawdown -69.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -53.7%, Sharpe 0.41, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 3.8%, MDD -31.0%, exposure 22%).
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=36, slow=217 |
6.0% | -53.7% | 0.41 | 0.11 | 5.1x | 42 | 59% |
| EMA 크로스오버 fast=58, slow=148 |
5.5% | -53.5% | 0.38 | 0.10 | 4.5x | 36 | 60% |
| 볼린저 밴드 돌파 n=56, k=2.5 |
3.8% | -31.0% | 0.37 | 0.12 | 2.9x | 62 | 22% |
| Donchian 채널 돌파 entryN=115, exitN=53 |
3.8% | -57.9% | 0.32 | 0.07 | 2.9x | 44 | 42% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
4.3% | -67.5% | 0.29 | 0.06 | 3.3x | 19 | 100% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=23, mult=3.9 |
2.1% | -31.4% | 0.26 | 0.07 | 1.8x | 44 | 15% |
| ADX / DI 방향성 period=33, threshold=19 |
1.6% | -45.4% | 0.21 | 0.04 | 1.6x | 76 | 17% |
| Supertrend period=8, mult=4.5 |
0.7% | -59.2% | 0.13 | 0.01 | 1.2x | 114 | 51% |
| MACD fast=23, slow=42, signal=24 |
-0.3% | -56.8% | 0.08 | -0.01 | 0.9x | 271 | 50% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-6.0% | -82.9% | -0.21 | -0.07 | 0.2x | 500 | 52% |
| Buy and hold | 4.4% | -69.4% | 0.29 | 0.06 | 3.3x | 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 36-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 36-day average falls below the 217-day average