Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Bucher Industries AG backtest
10 trend-following strategies were compared on the full daily history of Bucher Industries AG. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.1%, MDD -38.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.1%, drawdown -77.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.6%, MDD -47.1%, Sharpe 0.77, 59% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 30.3%p (CAGR 11.1%, MDD -38.3%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=49 |
14.6% | -47.1% | 0.77 | 0.31 | 26.9x | 109 | 59% |
| Donchian 채널 돌파 entryN=38, exitN=35 |
14.1% | -43.6% | 0.76 | 0.32 | 24.2x | 63 | 59% |
| EMA 크로스오버 fast=37, slow=55 |
13.5% | -47.1% | 0.71 | 0.29 | 21.4x | 55 | 60% |
| 볼린저 밴드 돌파 n=55, k=2.9 |
7.3% | -21.1% | 0.66 | 0.35 | 5.5x | 38 | 23% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=19, mult=3.5 |
7.4% | -36.8% | 0.63 | 0.20 | 5.6x | 58 | 27% |
| Supertrend period=14, mult=4.4 |
10.9% | -52.1% | 0.62 | 0.21 | 12.2x | 77 | 56% |
| ROC 모멘텀 n=121, threshold=-0.03 |
11.1% | -38.3% | 0.59 | 0.29 | 12.8x | 136 | 65% |
| ADX / DI 방향성 period=39, threshold=10 |
8.2% | -42.3% | 0.53 | 0.19 | 6.7x | 193 | 47% |
| MACD fast=29, slow=55, signal=22 |
8.7% | -49.0% | 0.51 | 0.18 | 7.5x | 179 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
3.4% | -62.4% | 0.26 | 0.05 | 2.2x | 203 | 55% |
| Buy and hold | 9.1% | -77.4% | 0.44 | 0.12 | 8.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 49-day average
- Sell — Sell (to cash) when the 26-day average falls below the 49-day average