Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Daetwyler Holding AG backtest
10 trend-following strategies were compared on the full daily history of Daetwyler Holding AG. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.1%, MDD -40.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.2%, drawdown -73.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -50.7%, Sharpe 0.45, 71% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 7.1%, MDD -40.3%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=21, exitN=50 |
8.2% | -50.7% | 0.45 | 0.16 | 11.8x | 96 | 71% |
| Supertrend period=14, mult=4.8 |
7.1% | -40.3% | 0.43 | 0.18 | 8.7x | 104 | 62% |
| EMA 크로스오버 fast=21, slow=59 |
7.0% | -44.5% | 0.43 | 0.16 | 8.4x | 112 | 60% |
| SMA 크로스오버 fast=8, slow=211 |
6.8% | -51.8% | 0.42 | 0.13 | 7.8x | 72 | 60% |
| 볼린저 밴드 돌파 n=52, k=3.4 |
3.3% | -28.0% | 0.40 | 0.12 | 2.8x | 38 | 16% |
| MACD fast=60, slow=66, signal=42 |
5.4% | -49.7% | 0.36 | 0.11 | 5.1x | 132 | 52% |
| ROC 모멘텀 n=152, threshold=-0.09 |
4.6% | -67.3% | 0.31 | 0.07 | 4.1x | 162 | 75% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=10, mult=2.3 |
2.8% | -54.9% | 0.26 | 0.05 | 2.4x | 144 | 40% |
| ADX / DI 방향성 period=25, threshold=36 |
0.6% | -12.2% | 0.17 | 0.05 | 1.2x | 14 | 3% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-0.7% | -71.5% | 0.07 | -0.01 | 0.8x | 495 | 54% |
| Buy and hold | 6.2% | -73.3% | 0.35 | 0.08 | 6.6x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 50 days