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. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.7%, MDD -40.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.0%, drawdown -53.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.7%, MDD -27.9%, Sharpe 0.64, 24% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.7%, MDD -40.9%, exposure 54%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.3%p lower than buy and hold, while drawdown improves by 25.7%p (CAGR 15.7%, MDD -40.9%, exposure 54%).
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=49, threshold=15 |
10.7% | -27.9% | 0.64 | 0.38 | 10.3x | 54 | 24% |
| Donchian 채널 돌파 entryN=76, exitN=82 |
15.7% | -40.9% | 0.61 | 0.38 | 28.3x | 32 | 54% |
| SMA 크로스오버 fast=68, slow=220 |
15.0% | -45.0% | 0.59 | 0.33 | 24.4x | 30 | 52% |
| EMA 크로스오버 fast=40, slow=109 |
13.2% | -48.4% | 0.54 | 0.27 | 17.0x | 38 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=22, mult=3.8 |
8.3% | -58.0% | 0.52 | 0.14 | 6.2x | 54 | 24% |
| 볼린저 밴드 돌파 n=67, k=3.5 |
9.6% | -31.1% | 0.50 | 0.31 | 8.1x | 28 | 17% |
| ROC 모멘텀 n=97, threshold=0.09 |
9.5% | -61.7% | 0.45 | 0.15 | 8.0x | 152 | 31% |
| Parabolic SAR step=0.005, maxStep=0.34 |
6.0% | -60.7% | 0.36 | 0.10 | 3.8x | 144 | 50% |
| Supertrend period=20, mult=4.2 |
4.5% | -78.1% | 0.30 | 0.06 | 2.7x | 96 | 49% |
| MACD fast=19, slow=56, signal=18 |
-1.5% | -92.4% | 0.07 | -0.02 | 0.7x | 252 | 48% |
| Buy and hold | 15.0% | -53.6% | 0.54 | 0.28 | 24.8x | 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, 49-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)