Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Dottikon ES Holding AG backtest
10 trend-following strategies were compared on the full daily history of Dottikon ES Holding AG. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 15.6%, drawdown -53.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.5%, MDD -40.7%, Sharpe 0.63, 23% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.6%, MDD -45.0%, exposure 53%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=39, threshold=16 |
10.5% | -40.7% | 0.63 | 0.26 | 9.7x | 64 | 23% |
| Donchian 채널 돌파 entryN=73, exitN=74 |
15.6% | -45.0% | 0.61 | 0.35 | 27.1x | 34 | 53% |
| SMA 크로스오버 fast=33, slow=158 |
13.4% | -46.9% | 0.55 | 0.29 | 17.4x | 40 | 51% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=23, mult=3.7 |
8.5% | -57.6% | 0.54 | 0.15 | 6.4x | 54 | 24% |
| EMA 크로스오버 fast=40, slow=115 |
13.0% | -50.4% | 0.54 | 0.26 | 16.0x | 34 | 52% |
| 볼린저 밴드 돌파 n=68, k=3.5 |
9.7% | -30.5% | 0.51 | 0.32 | 8.2x | 28 | 17% |
| ROC 모멘텀 n=97, threshold=0.09 |
9.6% | -61.7% | 0.45 | 0.15 | 8.0x | 152 | 31% |
| Parabolic SAR step=0.005, maxStep=0.32 |
6.3% | -60.7% | 0.37 | 0.10 | 4.0x | 143 | 50% |
| Supertrend period=17, mult=4 |
4.2% | -82.4% | 0.29 | 0.05 | 2.5x | 104 | 50% |
| MACD fast=19, slow=66, signal=19 |
-1.3% | -92.8% | 0.07 | -0.01 | 0.7x | 241 | 47% |
| Buy and hold | 15.6% | -53.6% | 0.55 | 0.29 | 26.9x | 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, 39-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)