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 EMA 크로스오버 (CAGR 13.8%, MDD -35.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.2%, drawdown -68.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.8%, MDD -35.4%, Sharpe 0.76, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 13.8%, MDD -35.4%, exposure 69%).
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=42, slow=285 |
13.8% | -35.4% | 0.76 | 0.39 | 10.4x | 7 | 69% |
| Donchian 채널 돌파 entryN=98, exitN=93 |
11.0% | -35.5% | 0.65 | 0.31 | 6.7x | 16 | 64% |
| SMA 크로스오버 fast=32, slow=191 |
10.6% | -36.5% | 0.62 | 0.29 | 6.2x | 24 | 63% |
| ROC 모멘텀 n=184, threshold=-0.06 |
9.3% | -55.1% | 0.54 | 0.17 | 5.0x | 63 | 76% |
| Supertrend period=15, mult=2 |
8.2% | -44.0% | 0.51 | 0.19 | 4.1x | 176 | 56% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=13, mult=2.6 |
6.2% | -35.7% | 0.47 | 0.17 | 3.0x | 58 | 40% |
| 볼린저 밴드 돌파 n=61, k=2 |
6.0% | -34.5% | 0.46 | 0.17 | 2.9x | 66 | 38% |
| Parabolic SAR step=0.005, maxStep=0.22 |
6.4% | -41.6% | 0.43 | 0.15 | 3.1x | 138 | 56% |
| MACD fast=16, slow=51, signal=18 |
1.2% | -54.5% | 0.16 | 0.02 | 1.3x | 202 | 50% |
| ADX / DI 방향성 period=30, threshold=22 |
-1.3% | -43.2% | -0.11 | -0.03 | 0.8x | 40 | 8% |
| Buy and hold | 10.2% | -68.0% | 0.50 | 0.15 | 5.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 285-day EMA
- Sell — Sell when the 42-day EMA falls below the 285-day EMA