Trend-Following Backtester · Guide · backtest 한국어
equity · CH
EMS-CHEMIE HOLDING AG backtest
10 trend-following strategies were compared on the full daily history of EMS-CHEMIE HOLDING AG. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.5%, MDD -32.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.6%, drawdown -53.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -33.6%, Sharpe 0.67, 68% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 9.5%, MDD -32.0%, exposure 68%).
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=208 |
9.9% | -33.6% | 0.67 | 0.29 | 8.6x | 23 | 68% |
| EMA 크로스오버 fast=43, slow=145 |
9.5% | -32.0% | 0.65 | 0.30 | 8.0x | 25 | 68% |
| Donchian 채널 돌파 entryN=90, exitN=100 |
7.9% | -40.3% | 0.56 | 0.20 | 5.7x | 23 | 65% |
| ROC 모멘텀 n=149, threshold=-0.01 |
7.9% | -30.6% | 0.55 | 0.26 | 5.6x | 129 | 69% |
| Supertrend period=25, mult=2.2 |
6.3% | -36.4% | 0.48 | 0.17 | 4.1x | 201 | 57% |
| 볼린저 밴드 돌파 n=12, k=2.8 |
1.9% | -7.3% | 0.46 | 0.27 | 1.5x | 42 | 7% |
| MACD fast=13, slow=19, signal=17 |
3.2% | -45.0% | 0.29 | 0.07 | 2.1x | 337 | 51% |
| Parabolic SAR step=0.01, maxStep=0.1 |
3.0% | -48.8% | 0.27 | 0.06 | 1.9x | 289 | 55% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=18, mult=1.5 |
2.1% | -27.7% | 0.24 | 0.08 | 1.6x | 171 | 36% |
| ADX / DI 방향성 period=27, threshold=39 |
0.3% | -7.8% | 0.16 | 0.04 | 1.1x | 6 | 2% |
| Buy and hold | 9.6% | -53.2% | 0.53 | 0.18 | 8.2x | 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 208-day average
- Sell — Sell (to cash) when the 28-day average falls below the 208-day average