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 4.2%, MDD -38.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.3%, drawdown -69.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.3%, MDD -48.2%, Sharpe 0.42, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 4.2%, MDD -38.5%, exposure 29%).
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=41, slow=218 |
6.3% | -48.2% | 0.42 | 0.13 | 5.5x | 34 | 59% |
| EMA 크로스오버 fast=74, slow=132 |
5.7% | -53.7% | 0.39 | 0.11 | 4.7x | 30 | 59% |
| 볼린저 밴드 돌파 n=52, k=2.3 |
4.2% | -38.5% | 0.37 | 0.11 | 3.2x | 82 | 29% |
| Donchian 채널 돌파 entryN=96, exitN=58 |
4.1% | -44.0% | 0.33 | 0.09 | 3.1x | 46 | 47% |
| ROC 모멘텀 n=135, threshold=-0.08 |
3.0% | -63.8% | 0.25 | 0.05 | 2.3x | 170 | 73% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=18, mult=3.9 |
1.7% | -20.1% | 0.23 | 0.09 | 1.6x | 42 | 12% |
| ADX / DI 방향성 period=33, threshold=20 |
1.8% | -45.4% | 0.23 | 0.04 | 1.6x | 68 | 15% |
| Supertrend period=8, mult=4.6 |
0.9% | -59.9% | 0.14 | 0.02 | 1.3x | 110 | 51% |
| MACD fast=31, slow=49, signal=31 |
0.6% | -59.1% | 0.13 | 0.01 | 1.2x | 193 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-6.3% | -84.4% | -0.23 | -0.07 | 0.2x | 504 | 52% |
| Buy and hold | 4.3% | -69.4% | 0.29 | 0.06 | 3.2x | 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 41-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 41-day average falls below the 218-day average