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 5.0%, drawdown -77.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -36.3%, Sharpe 0.52, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 40.9%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=31, slow=200 |
9.2% | -36.3% | 0.52 | 0.25 | 15.0x | 41 | 59% |
| EMA 크로스오버 fast=54, slow=209 |
8.7% | -30.9% | 0.50 | 0.28 | 13.1x | 27 | 60% |
| Donchian 채널 돌파 entryN=84, exitN=71 |
7.4% | -34.7% | 0.45 | 0.21 | 9.1x | 41 | 55% |
| 볼린저 밴드 돌파 n=70, k=2.9 |
4.9% | -32.1% | 0.41 | 0.15 | 4.3x | 41 | 20% |
| ROC 모멘텀 n=136, threshold=-0.08 |
6.8% | -53.5% | 0.40 | 0.13 | 7.5x | 143 | 70% |
| Supertrend period=13, mult=5 |
3.5% | -56.7% | 0.27 | 0.06 | 2.9x | 105 | 57% |
| ADX / DI 방향성 period=36, threshold=20 |
0.9% | -40.4% | 0.13 | 0.02 | 1.3x | 70 | 12% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=1.7 |
0.6% | -54.0% | 0.12 | 0.01 | 1.2x | 199 | 42% |
| MACD fast=25, slow=39, signal=29 |
-0.1% | -61.1% | 0.09 | -0.00 | 1.0x | 266 | 52% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-2.6% | -81.5% | -0.03 | -0.03 | 0.4x | 376 | 52% |
| Buy and hold | 5.0% | -77.2% | 0.31 | 0.06 | 4.5x | 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 31-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 31-day average falls below the 200-day average