Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Compagnie Financiere Richemont SA backtest
10 trend-following strategies were compared on the full daily history of Compagnie Financiere Richemont SA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.3%, MDD -47.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.4%, drawdown -74.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -47.3%, Sharpe 0.50, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.3%, MDD -66.4%, exposure 81%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 26.9%p (CAGR 9.3%, MDD -47.3%, exposure 61%).
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=45, slow=84 |
9.3% | -47.3% | 0.50 | 0.20 | 16.3x | 95 | 61% |
| EMA 크로스오버 fast=45, slow=136 |
8.5% | -47.3% | 0.46 | 0.18 | 12.9x | 49 | 62% |
| Donchian 채널 돌파 entryN=25, exitN=88 |
9.3% | -66.4% | 0.46 | 0.14 | 16.5x | 65 | 81% |
| ROC 모멘텀 n=65, threshold=-0.09 |
8.7% | -51.5% | 0.45 | 0.17 | 13.9x | 197 | 81% |
| 볼린저 밴드 돌파 n=12, k=3.2 |
1.0% | -4.4% | 0.42 | 0.23 | 1.4x | 8 | 1% |
| Supertrend period=9, mult=4.6 |
3.5% | -51.2% | 0.27 | 0.07 | 3.0x | 136 | 56% |
| ADX / DI 방향성 period=48, threshold=8 |
1.5% | -55.5% | 0.18 | 0.03 | 1.6x | 298 | 48% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=12, mult=2.5 |
1.4% | -41.9% | 0.17 | 0.03 | 1.5x | 164 | 37% |
| MACD fast=20, slow=59, signal=18 |
-1.1% | -77.1% | 0.06 | -0.01 | 0.7x | 336 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.5% | -84.6% | 0.01 | -0.03 | 0.5x | 280 | 57% |
| Buy and hold | 10.4% | -74.2% | 0.46 | 0.14 | 22.7x | 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 45-day average price crosses above the 84-day average
- Sell — Sell (to cash) when the 45-day average falls below the 84-day average