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. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.5%, MDD -40.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.5%, drawdown -77.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.0%, MDD -40.8%, Sharpe 0.71, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 13.5%, MDD -40.5%, exposure 56%).
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=33, slow=80 |
14.0% | -40.8% | 0.71 | 0.34 | 61.4x | 65 | 57% |
| SMA 크로스오버 fast=24, slow=125 |
13.5% | -40.5% | 0.69 | 0.33 | 52.7x | 69 | 56% |
| Donchian 채널 돌파 entryN=28, exitN=43 |
12.0% | -63.4% | 0.59 | 0.19 | 34.7x | 85 | 65% |
| 볼린저 밴드 돌파 n=92, k=1.7 |
9.2% | -44.9% | 0.56 | 0.20 | 15.7x | 85 | 41% |
| ROC 모멘텀 n=118, threshold=0 |
9.7% | -54.6% | 0.53 | 0.18 | 18.4x | 195 | 58% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=2.4 |
7.5% | -45.0% | 0.49 | 0.17 | 9.7x | 139 | 39% |
| Supertrend period=28, mult=5 |
8.6% | -64.4% | 0.48 | 0.13 | 13.2x | 103 | 57% |
| ADX / DI 방향성 period=37, threshold=21 |
4.2% | -24.7% | 0.43 | 0.17 | 3.6x | 61 | 13% |
| Parabolic SAR step=0.015, maxStep=0.18 |
4.8% | -61.6% | 0.32 | 0.08 | 4.3x | 507 | 53% |
| MACD fast=10, slow=53, signal=22 |
0.6% | -66.5% | 0.14 | 0.01 | 1.2x | 383 | 50% |
| Buy and hold | 9.5% | -77.0% | 0.43 | 0.12 | 16.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 80-day EMA
- Sell — Sell when the 33-day EMA falls below the 80-day EMA