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. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 3.1%, MDD -27.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.1%, drawdown -55.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -6.6%, Sharpe 0.36, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.7%, MDD -40.5%, exposure 60%.
Return/drawdown alternative: MACD — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 48.9%p (CAGR 3.1%, MDD -27.0%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=25, threshold=31 |
1.0% | -6.6% | 0.36 | 0.15 | 1.1x | 6 | 3% |
| SMA 크로스오버 fast=32, slow=187 |
3.7% | -40.5% | 0.31 | 0.09 | 1.6x | 20 | 60% |
| Donchian 채널 돌파 entryN=106, exitN=103 |
3.5% | -30.7% | 0.30 | 0.12 | 1.6x | 12 | 64% |
| MACD fast=26, slow=75, signal=43 |
3.1% | -27.0% | 0.29 | 0.12 | 1.5x | 65 | 50% |
| 볼린저 밴드 돌파 n=56, k=3 |
1.4% | -16.7% | 0.24 | 0.09 | 1.2x | 14 | 13% |
| ROC 모멘텀 n=62, threshold=-0.03 |
2.0% | -29.3% | 0.20 | 0.07 | 1.3x | 116 | 71% |
| Supertrend period=10, mult=3.4 |
1.2% | -32.4% | 0.15 | 0.04 | 1.2x | 67 | 54% |
| EMA 크로스오버 fast=32, slow=206 |
1.1% | -50.6% | 0.15 | 0.02 | 1.2x | 20 | 59% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=25, mult=1.1 |
-2.1% | -38.9% | -0.10 | -0.05 | 0.8x | 100 | 47% |
| Parabolic SAR step=0.035, maxStep=0.1 |
-5.9% | -55.2% | -0.36 | -0.11 | 0.5x | 300 | 54% |
| Buy and hold | 3.1% | -55.5% | 0.25 | 0.06 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 25-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)