Trend-Following Backtester · Guide · backtest 한국어
equity · CH
COMET Holding AG backtest
10 trend-following strategies were compared on the full daily history of COMET Holding AG. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.4%, MDD -41.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.9%, drawdown -75.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.6%, MDD -56.7%, Sharpe 0.74, 62% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 19.5%, MDD -53.1%, exposure 77%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 16.4%, MDD -41.2%, exposure 62%).
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=52, slow=183 |
17.6% | -56.7% | 0.74 | 0.31 | 47.4x | 29 | 62% |
| Donchian 채널 돌파 entryN=20, exitN=65 |
19.5% | -53.1% | 0.73 | 0.37 | 68.6x | 51 | 77% |
| EMA 크로스오버 fast=5, slow=204 |
16.4% | -41.2% | 0.71 | 0.40 | 37.2x | 61 | 62% |
| ROC 모멘텀 n=119, threshold=0.09 |
15.1% | -46.7% | 0.71 | 0.32 | 28.4x | 121 | 49% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=20, mult=3.2 |
12.0% | -35.8% | 0.67 | 0.34 | 14.9x | 70 | 37% |
| 볼린저 밴드 돌파 n=29, k=2.5 |
10.6% | -29.9% | 0.66 | 0.35 | 10.9x | 110 | 29% |
| Supertrend period=8, mult=4.3 |
13.6% | -43.4% | 0.62 | 0.31 | 20.8x | 84 | 59% |
| Parabolic SAR step=0.05, maxStep=0.06 |
13.1% | -52.8% | 0.60 | 0.25 | 18.7x | 381 | 55% |
| ADX / DI 방향성 period=13, threshold=17 |
11.3% | -44.9% | 0.59 | 0.25 | 12.7x | 382 | 43% |
| MACD fast=16, slow=32, signal=24 |
7.2% | -57.1% | 0.40 | 0.13 | 5.2x | 273 | 49% |
| Buy and hold | 12.9% | -75.9% | 0.51 | 0.17 | 17.8x | 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 52-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 52-day average falls below the 183-day average