Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Bossard Holding AG backtest
10 trend-following strategies were compared on the full daily history of Bossard Holding AG. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.2%, MDD -39.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.8%, drawdown -77.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.2%, MDD -39.6%, Sharpe 0.71, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 14.2%, MDD -39.6%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=43, slow=65 |
14.2% | -39.6% | 0.71 | 0.36 | 65.1x | 63 | 57% |
| SMA 크로스오버 fast=14, slow=150 |
13.4% | -42.2% | 0.69 | 0.32 | 52.7x | 69 | 57% |
| Donchian 채널 돌파 entryN=31, exitN=44 |
13.1% | -49.0% | 0.63 | 0.27 | 48.7x | 81 | 64% |
| 볼린저 밴드 돌파 n=98, k=1.7 |
10.1% | -45.9% | 0.61 | 0.22 | 20.9x | 77 | 42% |
| ROC 모멘텀 n=118, threshold=0 |
10.0% | -54.6% | 0.54 | 0.18 | 20.3x | 195 | 59% |
| Supertrend period=19, mult=4.6 |
8.9% | -52.3% | 0.50 | 0.17 | 14.8x | 117 | 57% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=2.3 |
7.6% | -47.6% | 0.49 | 0.16 | 10.0x | 145 | 40% |
| ADX / DI 방향성 period=37, threshold=21 |
4.5% | -24.7% | 0.46 | 0.18 | 4.0x | 61 | 14% |
| MACD fast=18, slow=88, signal=27 |
6.2% | -51.3% | 0.38 | 0.12 | 6.7x | 233 | 52% |
| Parabolic SAR step=0.015, maxStep=0.18 |
4.8% | -61.6% | 0.32 | 0.08 | 4.4x | 511 | 53% |
| Buy and hold | 9.8% | -77.0% | 0.44 | 0.13 | 18.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 65-day EMA
- Sell — Sell when the 43-day EMA falls below the 65-day EMA