Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Flughafen Zurich AG backtest
10 trend-following strategies were compared on the full daily history of Flughafen Zurich AG. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.3%, MDD -17.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.1%, drawdown -94.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.5%, MDD -33.3%, Sharpe 0.84, 63% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 61.5%p (CAGR 4.3%, MDD -17.2%, exposure 8%).
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=56, slow=176 |
14.5% | -33.3% | 0.84 | 0.44 | 36.1x | 30 | 63% |
| EMA 크로스오버 fast=78, slow=136 |
11.8% | -39.3% | 0.76 | 0.30 | 19.3x | 24 | 64% |
| ADX / DI 방향성 period=20, threshold=35 |
4.3% | -17.2% | 0.67 | 0.25 | 3.0x | 26 | 8% |
| Donchian 채널 돌파 entryN=112, exitN=31 |
8.4% | -39.8% | 0.66 | 0.21 | 8.4x | 50 | 38% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=3.5 |
8.1% | -39.7% | 0.66 | 0.20 | 7.8x | 62 | 33% |
| ROC 모멘텀 n=148, threshold=0 |
10.2% | -40.8% | 0.63 | 0.25 | 13.0x | 148 | 63% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
4.4% | -28.1% | 0.58 | 0.16 | 3.1x | 26 | 8% |
| Supertrend period=4, mult=4.9 |
8.8% | -51.9% | 0.54 | 0.17 | 9.4x | 78 | 57% |
| MACD fast=14, slow=36, signal=16 |
1.2% | -56.5% | 0.16 | 0.02 | 1.4x | 343 | 50% |
| Parabolic SAR step=0.01, maxStep=0.34 |
0.7% | -74.7% | 0.13 | 0.01 | 1.2x | 342 | 53% |
| Buy and hold | 4.1% | -94.8% | 0.28 | 0.04 | 2.9x | 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 56-day average price crosses above the 176-day average
- Sell — Sell (to cash) when the 56-day average falls below the 176-day average