Trend-Following Backtester · Guide · backtest 한국어
equity · CH
dormakaba Holding AG backtest
10 trend-following strategies were compared on the full daily history of dormakaba Holding AG. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.7%, MDD -30.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.8%, drawdown -77.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -38.2%, Sharpe 0.52, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 8.7%, MDD -30.9%, exposure 60%).
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=28, slow=192 |
9.1% | -38.2% | 0.52 | 0.24 | 14.5x | 38 | 59% |
| EMA 크로스오버 fast=56, slow=205 |
8.7% | -30.9% | 0.50 | 0.28 | 13.0x | 26 | 60% |
| Donchian 채널 돌파 entryN=74, exitN=71 |
7.3% | -39.6% | 0.44 | 0.18 | 8.6x | 42 | 56% |
| ROC 모멘텀 n=142, threshold=-0.03 |
5.3% | -52.0% | 0.34 | 0.10 | 4.8x | 166 | 64% |
| 볼린저 밴드 돌파 n=59, k=2.8 |
3.3% | -38.3% | 0.32 | 0.09 | 2.7x | 56 | 20% |
| Supertrend period=12, mult=5 |
3.3% | -57.2% | 0.26 | 0.06 | 2.7x | 105 | 56% |
| ADX / DI 방향성 period=35, threshold=21 |
0.9% | -32.5% | 0.13 | 0.03 | 1.3x | 64 | 11% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=25, mult=3.7 |
0.4% | -57.5% | 0.10 | 0.01 | 1.1x | 78 | 20% |
| MACD fast=21, slow=54, signal=20 |
-0.9% | -63.9% | 0.05 | -0.01 | 0.8x | 293 | 52% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-2.5% | -81.5% | -0.02 | -0.03 | 0.5x | 373 | 52% |
| Buy and hold | 4.8% | -77.2% | 0.30 | 0.06 | 4.2x | 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 28-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 28-day average falls below the 192-day average