Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Emmi AG backtest
10 trend-following strategies were compared on the full daily history of Emmi AG. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like. The return/drawdown alternative is MACD (CAGR 7.5%, MDD -34.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.9%, drawdown -43.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.2%, MDD -43.5%, Sharpe 0.56, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: MACD — CAGR is 0.3%p higher than buy and hold, while drawdown improves by -0.5%p (CAGR 7.5%, MDD -34.3%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.09 |
10.2% | -43.5% | 0.56 | 0.23 | 8.3x | 19 | 100% |
| MACD fast=28, slow=111, signal=33 |
7.5% | -34.3% | 0.55 | 0.22 | 4.9x | 102 | 50% |
| SMA 크로스오버 fast=17, slow=29 |
7.0% | -39.4% | 0.50 | 0.18 | 4.4x | 198 | 56% |
| Parabolic SAR step=0.005, maxStep=0.04 |
6.9% | -32.6% | 0.49 | 0.21 | 4.3x | 146 | 56% |
| Supertrend period=29, mult=3.7 |
7.0% | -40.9% | 0.48 | 0.17 | 4.4x | 78 | 63% |
| 볼린저 밴드 돌파 n=48, k=2.3 |
5.2% | -34.1% | 0.48 | 0.15 | 3.0x | 78 | 34% |
| Donchian 채널 돌파 entryN=10, exitN=17 |
7.0% | -37.9% | 0.47 | 0.18 | 4.4x | 137 | 66% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=27, mult=4 |
2.2% | -9.9% | 0.46 | 0.22 | 1.6x | 12 | 4% |
| EMA 크로스오버 fast=39, slow=211 |
5.9% | -41.6% | 0.41 | 0.14 | 3.5x | 33 | 65% |
| ADX / DI 방향성 period=12, threshold=35 |
2.0% | -29.1% | 0.31 | 0.07 | 1.5x | 104 | 11% |
| Buy and hold | 9.9% | -43.0% | 0.54 | 0.23 | 7.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -9%
- Sell — Sell when the 3-day return drops to -9% or below