Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Cembra Money Bank AG backtest
10 trend-following strategies were compared on the full daily history of Cembra Money Bank AG. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.2%, MDD -42.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.5%, drawdown -55.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.2%, MDD -51.3%, Sharpe 0.34, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 4.2%p (CAGR 3.2%, MDD -42.4%, exposure 86%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.1 |
5.2% | -51.3% | 0.34 | 0.10 | 1.9x | 15 | 99% |
| ADX / DI 방향성 period=25, threshold=32 |
0.9% | -6.6% | 0.32 | 0.14 | 1.1x | 6 | 3% |
| Donchian 채널 돌파 entryN=19, exitN=75 |
3.2% | -42.4% | 0.26 | 0.08 | 1.5x | 25 | 86% |
| SMA 크로스오버 fast=35, slow=181 |
3.0% | -44.0% | 0.26 | 0.07 | 1.4x | 20 | 60% |
| Supertrend period=10, mult=3.3 |
2.2% | -32.2% | 0.23 | 0.07 | 1.3x | 66 | 54% |
| EMA 크로스오버 fast=33, slow=194 |
1.4% | -48.5% | 0.17 | 0.03 | 1.2x | 20 | 60% |
| 볼린저 밴드 돌파 n=45, k=2 |
-0.2% | -33.5% | 0.04 | -0.01 | 1.0x | 62 | 37% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=18, mult=1.2 |
-2.4% | -41.8% | -0.12 | -0.06 | 0.7x | 98 | 47% |
| MACD fast=18, slow=57, signal=16 |
-6.9% | -64.9% | -0.33 | -0.11 | 0.4x | 142 | 52% |
| Parabolic SAR step=0.035, maxStep=0.1 |
-5.9% | -54.9% | -0.36 | -0.11 | 0.5x | 298 | 54% |
| Buy and hold | 3.5% | -55.5% | 0.27 | 0.06 | 1.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than -10%
- Sell — Sell when the 4-day return drops to -10% or below