Trend-Following Backtester · Guide · backtest 한국어
equity · CH
EFG International AG backtest
10 trend-following strategies were compared on the full daily history of EFG International AG. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -4.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.3%, drawdown -94.5%).
Sharpe leader (same as main): Supertrend — CAGR 4.7%, MDD -60.2%, Sharpe 0.31, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 0.3%, MDD -4.4%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=3.1 |
4.7% | -60.2% | 0.31 | 0.08 | 2.6x | 116 | 53% |
| Donchian 채널 돌파 entryN=13, exitN=38 |
2.6% | -65.0% | 0.24 | 0.04 | 1.7x | 87 | 73% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
1.8% | -30.9% | 0.23 | 0.06 | 1.4x | 16 | 7% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=11, mult=2.9 |
2.2% | -31.3% | 0.22 | 0.07 | 1.6x | 56 | 19% |
| SMA 크로스오버 fast=14, slow=93 |
1.8% | -59.6% | 0.20 | 0.03 | 1.5x | 84 | 54% |
| EMA 크로스오버 fast=19, slow=50 |
1.5% | -61.2% | 0.18 | 0.02 | 1.4x | 94 | 54% |
| Parabolic SAR step=0.01, maxStep=0.14 |
1.2% | -56.9% | 0.18 | 0.02 | 1.3x | 265 | 51% |
| ADX / DI 방향성 period=35, threshold=28 |
0.3% | -4.4% | 0.17 | 0.06 | 1.1x | 4 | 0% |
| MACD fast=18, slow=55, signal=17 |
-1.1% | -66.9% | 0.10 | -0.02 | 0.8x | 223 | 52% |
| ROC 모멘텀 n=97, threshold=0.05 |
-1.3% | -64.6% | 0.04 | -0.02 | 0.8x | 186 | 43% |
| Buy and hold | -4.3% | -94.5% | 0.10 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)