Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Galenica AG backtest
10 trend-following strategies were compared on the full daily history of Galenica AG. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -28.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.9%, MDD -28.3%, Sharpe 0.46, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=4, threshold=-0.09 |
6.9% | -28.3% | 0.46 | 0.24 | 1.9x | 3 | 100% |
| Donchian 채널 돌파 entryN=73, exitN=72 |
4.3% | -22.4% | 0.36 | 0.19 | 1.5x | 12 | 66% |
| EMA 크로스오버 fast=58, slow=81 |
4.3% | -22.7% | 0.36 | 0.19 | 1.5x | 18 | 67% |
| SMA 크로스오버 fast=19, slow=150 |
3.8% | -26.0% | 0.33 | 0.15 | 1.4x | 18 | 63% |
| 볼린저 밴드 돌파 n=47, k=1.8 |
2.6% | -20.4% | 0.30 | 0.12 | 1.3x | 41 | 40% |
| Supertrend period=14, mult=3 |
2.7% | -19.1% | 0.27 | 0.14 | 1.3x | 49 | 62% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=26, mult=2.1 |
1.0% | -17.7% | 0.15 | 0.06 | 1.1x | 43 | 38% |
| ADX / DI 방향성 period=26, threshold=32 |
-0.1% | -2.6% | -0.10 | -0.03 | 1.0x | 2 | 1% |
| MACD fast=11, slow=38, signal=19 |
-3.9% | -44.7% | -0.25 | -0.09 | 0.7x | 133 | 53% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.5% | -39.4% | -0.30 | -0.11 | 0.7x | 166 | 56% |
| Buy and hold | 7.7% | -28.3% | 0.50 | 0.27 | 2.0x | 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 4-day return is greater than -9%
- Sell — Sell when the 4-day return drops to -9% or below