Trend-Following Backtester · Guide · backtest 한국어
equity · CH
BELIMO Holding AG backtest
10 trend-following strategies were compared on the full daily history of BELIMO Holding AG. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.7%, MDD -43.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.5%, drawdown -61.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -43.0%, Sharpe 0.63, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 18.6%p (CAGR 12.7%, MDD -43.0%, exposure 67%).
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=56, slow=194 |
12.7% | -43.0% | 0.63 | 0.29 | 36.5x | 37 | 67% |
| EMA 크로스오버 fast=19, slow=123 |
11.1% | -43.6% | 0.59 | 0.26 | 24.1x | 70 | 67% |
| Donchian 채널 돌파 entryN=23, exitN=53 |
11.3% | -53.9% | 0.57 | 0.21 | 25.6x | 75 | 79% |
| Supertrend period=20, mult=4.2 |
9.8% | -43.6% | 0.54 | 0.23 | 16.9x | 118 | 63% |
| Keltner 채널 돌파 emaPeriod=92, atrPeriod=23, mult=1.9 |
8.8% | -35.6% | 0.53 | 0.25 | 12.6x | 116 | 54% |
| ROC 모멘텀 n=152, threshold=-0.01 |
9.4% | -47.9% | 0.50 | 0.20 | 14.9x | 178 | 72% |
| Parabolic SAR step=0.005, maxStep=0.06 |
6.9% | -49.0% | 0.42 | 0.14 | 7.5x | 222 | 56% |
| 볼린저 밴드 돌파 n=55, k=2 |
5.8% | -59.1% | 0.42 | 0.10 | 5.4x | 122 | 41% |
| ADX / DI 방향성 period=32, threshold=21 |
3.4% | -34.3% | 0.38 | 0.10 | 2.7x | 64 | 15% |
| MACD fast=19, slow=59, signal=18 |
2.7% | -60.2% | 0.23 | 0.04 | 2.2x | 310 | 51% |
| Buy and hold | 14.5% | -61.6% | 0.60 | 0.24 | 59.8x | 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 56-day average price crosses above the 194-day average
- Sell — Sell (to cash) when the 56-day average falls below the 194-day average