Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Banque Cantonale Vaudoise backtest
10 trend-following strategies were compared on the full daily history of Banque Cantonale Vaudoise. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.2%, MDD -33.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.1%, drawdown -61.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.2%, MDD -33.4%, Sharpe 0.78, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 13.2%, MDD -33.4%, exposure 68%).
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=38, slow=164 |
13.2% | -33.4% | 0.78 | 0.40 | 19.3x | 33 | 68% |
| Donchian 채널 돌파 entryN=65, exitN=67 |
10.3% | -40.6% | 0.69 | 0.25 | 10.2x | 39 | 60% |
| EMA 크로스오버 fast=74, slow=107 |
10.7% | -33.3% | 0.66 | 0.32 | 11.2x | 35 | 69% |
| ROC 모멘텀 n=102, threshold=-0.08 |
11.0% | -39.9% | 0.63 | 0.28 | 12.0x | 91 | 83% |
| ADX / DI 방향성 period=39, threshold=21 |
5.3% | -26.1% | 0.60 | 0.20 | 3.4x | 34 | 12% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
3.7% | -11.3% | 0.59 | 0.33 | 2.4x | 6 | 5% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=16, mult=3.2 |
5.6% | -42.2% | 0.53 | 0.13 | 3.7x | 58 | 26% |
| Supertrend period=8, mult=2.4 |
7.1% | -43.3% | 0.49 | 0.17 | 5.2x | 188 | 60% |
| Parabolic SAR step=0.005, maxStep=0.06 |
6.0% | -60.5% | 0.44 | 0.10 | 4.0x | 195 | 59% |
| MACD fast=21, slow=41, signal=20 |
3.3% | -62.5% | 0.29 | 0.05 | 2.2x | 260 | 52% |
| Buy and hold | 12.1% | -61.3% | 0.60 | 0.20 | 15.3x | 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 38-day average price crosses above the 164-day average
- Sell — Sell (to cash) when the 38-day average falls below the 164-day average