Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Burckhardt Compression Holding AG backtest
10 trend-following strategies were compared on the full daily history of Burckhardt Compression Holding AG. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.4%, MDD -51.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -75.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.8%, MDD -11.2%, Sharpe 0.51, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.0%, MDD -61.6%, exposure 71%.
Return/drawdown alternative: Supertrend — CAGR is 5.7%p lower than buy and hold, while drawdown improves by 63.8%p (CAGR 7.4%, MDD -51.4%, exposure 57%).
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=34, threshold=34 |
2.8% | -11.2% | 0.51 | 0.25 | 1.8x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=14, mult=3.2 |
2.8% | -15.6% | 0.43 | 0.18 | 1.7x | 16 | 4% |
| Donchian 채널 돌파 entryN=40, exitN=78 |
8.0% | -61.6% | 0.42 | 0.13 | 4.7x | 42 | 71% |
| Supertrend period=20, mult=4.4 |
7.4% | -51.4% | 0.42 | 0.14 | 4.2x | 70 | 57% |
| EMA 크로스오버 fast=25, slow=176 |
6.9% | -61.7% | 0.40 | 0.11 | 3.8x | 30 | 59% |
| 볼린저 밴드 돌파 n=41, k=1.3 |
4.5% | -45.6% | 0.32 | 0.10 | 2.4x | 146 | 42% |
| SMA 크로스오버 fast=13, slow=92 |
4.7% | -59.2% | 0.31 | 0.08 | 2.5x | 86 | 57% |
| ROC 모멘텀 n=49, threshold=-0.07 |
4.6% | -74.2% | 0.30 | 0.06 | 2.5x | 243 | 75% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.3% | -79.7% | 0.13 | 0.00 | 1.1x | 172 | 55% |
| MACD fast=12, slow=30, signal=14 |
-2.8% | -83.4% | 0.00 | -0.03 | 0.6x | 317 | 51% |
| Buy and hold | 8.5% | -75.0% | 0.41 | 0.11 | 5.2x | 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, 34-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)