Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Berner Kantonalbank AG backtest
10 trend-following strategies were compared on the full daily history of Berner Kantonalbank AG. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.3%, MDD -25.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.3%, drawdown -34.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.8%, MDD -12.7%, Sharpe 0.62, 13% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.6%, MDD -29.7%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 21.8%p (CAGR 3.3%, MDD -25.5%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=13, mult=2.9 |
2.8% | -12.7% | 0.62 | 0.22 | 2.1x | 38 | 13% |
| ADX / DI 방향성 period=18, threshold=40 |
2.1% | -10.0% | 0.53 | 0.20 | 1.7x | 38 | 10% |
| 볼린저 밴드 돌파 n=52, k=3.1 |
2.3% | -10.7% | 0.51 | 0.21 | 1.8x | 36 | 16% |
| ROC 모멘텀 Hold-like · Exposure 96% n=133, threshold=-0.12 |
4.6% | -29.7% | 0.48 | 0.15 | 3.2x | 15 | 96% |
| Donchian 채널 돌파 entryN=80, exitN=78 |
3.3% | -25.5% | 0.42 | 0.13 | 2.3x | 37 | 62% |
| Supertrend period=27, mult=4 |
2.4% | -27.1% | 0.34 | 0.09 | 1.9x | 75 | 56% |
| SMA 크로스오버 fast=51, slow=182 |
2.5% | -33.2% | 0.32 | 0.08 | 1.9x | 43 | 63% |
| EMA 크로스오버 fast=47, slow=153 |
2.3% | -45.2% | 0.30 | 0.05 | 1.8x | 39 | 65% |
| MACD fast=30, slow=89, signal=31 |
0.3% | -42.9% | 0.08 | 0.01 | 1.1x | 165 | 53% |
| Parabolic SAR step=0.005, maxStep=0.04 |
0.3% | -48.6% | 0.07 | 0.01 | 1.1x | 175 | 57% |
| Buy and hold | 4.3% | -34.5% | 0.45 | 0.13 | 3.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 26-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 26-day average