Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Burkhalter Holding AG backtest
10 trend-following strategies were compared on the full daily history of Burkhalter Holding AG. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.4%, MDD -27.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.5%, drawdown -68.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.9%, MDD -35.4%, Sharpe 0.77, 68% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 10.4%, MDD -27.5%, exposure 55%).
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=39, slow=282 |
13.9% | -35.4% | 0.77 | 0.39 | 10.8x | 8 | 68% |
| SMA 크로스오버 fast=47, slow=327 |
12.6% | -35.4% | 0.71 | 0.35 | 8.7x | 10 | 67% |
| Donchian 채널 돌파 entryN=90, exitN=53 |
10.4% | -27.5% | 0.65 | 0.38 | 6.1x | 24 | 55% |
| ROC 모멘텀 n=199, threshold=-0.03 |
9.1% | -38.3% | 0.53 | 0.24 | 4.9x | 80 | 72% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=2.3 |
6.5% | -43.9% | 0.49 | 0.15 | 3.2x | 68 | 39% |
| Supertrend period=23, mult=2.2 |
7.4% | -45.4% | 0.48 | 0.16 | 3.7x | 159 | 55% |
| 볼린저 밴드 돌파 n=71, k=1.9 |
5.8% | -42.0% | 0.45 | 0.14 | 2.8x | 62 | 40% |
| Parabolic SAR step=0.005, maxStep=0.26 |
5.5% | -41.6% | 0.39 | 0.13 | 2.7x | 142 | 56% |
| MACD fast=15, slow=47, signal=20 |
0.1% | -54.6% | 0.09 | 0.00 | 1.0x | 211 | 51% |
| ADX / DI 방향성 period=32, threshold=37 |
0.1% | -7.6% | 0.05 | 0.01 | 1.0x | 4 | 1% |
| Buy and hold | 9.5% | -68.0% | 0.48 | 0.14 | 5.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 282-day EMA
- Sell — Sell when the 39-day EMA falls below the 282-day EMA