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. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.1%, MDD -44.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.3%, drawdown -75.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.4%, MDD -52.0%, Sharpe 0.73, 80% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 23.9%p (CAGR 16.1%, MDD -44.4%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=60 |
19.4% | -52.0% | 0.73 | 0.37 | 66.5x | 53 | 80% |
| SMA 크로스오버 fast=54, slow=120 |
16.8% | -50.8% | 0.71 | 0.33 | 39.1x | 39 | 60% |
| EMA 크로스오버 fast=7, slow=180 |
16.1% | -44.4% | 0.70 | 0.36 | 34.3x | 55 | 61% |
| ROC 모멘텀 n=119, threshold=0.09 |
14.6% | -46.7% | 0.69 | 0.31 | 25.0x | 121 | 49% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=25, mult=2.4 |
12.0% | -41.9% | 0.64 | 0.29 | 14.5x | 94 | 42% |
| 볼린저 밴드 돌파 n=31, k=3.1 |
7.9% | -25.2% | 0.62 | 0.31 | 6.0x | 56 | 18% |
| Supertrend period=13, mult=3.4 |
12.8% | -50.7% | 0.60 | 0.25 | 17.2x | 124 | 58% |
| Parabolic SAR step=0.005, maxStep=0.2 |
12.3% | -49.7% | 0.58 | 0.25 | 15.6x | 170 | 54% |
| ADX / DI 방향성 period=18, threshold=22 |
8.4% | -42.2% | 0.54 | 0.20 | 6.8x | 174 | 26% |
| MACD fast=9, slow=34, signal=16 |
7.3% | -58.9% | 0.40 | 0.12 | 5.3x | 354 | 49% |
| Buy and hold | 12.3% | -75.9% | 0.50 | 0.16 | 15.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 60 days