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. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.8%, MDD -57.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.4%, 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: ROC 모멘텀 — CAGR 9.9%, MDD -74.1%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.5%p lower than buy and hold, while drawdown improves by 63.8%p (CAGR 7.8%, MDD -57.0%, exposure 72%).
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=35 |
2.8% | -11.2% | 0.51 | 0.25 | 1.8x | 2 | 2% |
| 볼린저 밴드 돌파 n=37, k=3.4 |
3.8% | -16.0% | 0.49 | 0.24 | 2.1x | 10 | 6% |
| ROC 모멘텀 Hold-like · Exposure 97% n=7, threshold=-0.12 |
9.9% | -74.1% | 0.45 | 0.13 | 6.8x | 79 | 97% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=28, mult=3.7 |
2.7% | -12.6% | 0.43 | 0.22 | 1.7x | 14 | 4% |
| Donchian 채널 돌파 entryN=40, exitN=82 |
7.8% | -57.0% | 0.42 | 0.14 | 4.6x | 41 | 72% |
| EMA 크로스오버 fast=56, slow=75 |
7.0% | -59.1% | 0.40 | 0.12 | 3.9x | 46 | 60% |
| Supertrend period=11, mult=3.4 |
7.0% | -47.1% | 0.40 | 0.15 | 4.0x | 100 | 59% |
| SMA 크로스오버 fast=14, slow=110 |
6.3% | -50.7% | 0.38 | 0.12 | 3.5x | 60 | 57% |
| Parabolic SAR step=0.025, maxStep=0.22 |
-1.0% | -68.4% | 0.08 | -0.01 | 0.8x | 480 | 55% |
| MACD fast=14, slow=30, signal=12 |
-2.6% | -83.4% | 0.01 | -0.03 | 0.6x | 318 | 51% |
| Buy and hold | 8.4% | -75.0% | 0.40 | 0.11 | 5.1x | 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 ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)