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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -28.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.7%, MDD -12.2%, Sharpe 0.45, 18% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.3%, MDD -28.3%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=40, k=2.8 |
2.7% | -12.2% | 0.45 | 0.22 | 1.3x | 14 | 18% |
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.09 |
6.3% | -28.3% | 0.43 | 0.22 | 1.8x | 5 | 100% |
| Donchian 채널 돌파 entryN=61, exitN=73 |
5.0% | -21.7% | 0.40 | 0.23 | 1.6x | 12 | 67% |
| EMA 크로스오버 fast=57, slow=109 |
4.8% | -22.4% | 0.39 | 0.21 | 1.6x | 14 | 66% |
| SMA 크로스오버 fast=30, slow=123 |
4.1% | -22.6% | 0.35 | 0.18 | 1.5x | 20 | 61% |
| Supertrend period=13, mult=3.1 |
2.7% | -22.3% | 0.26 | 0.12 | 1.3x | 48 | 60% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=27, mult=1.9 |
1.5% | -16.8% | 0.21 | 0.09 | 1.2x | 44 | 37% |
| MACD fast=30, slow=93, signal=24 |
1.0% | -25.8% | 0.14 | 0.04 | 1.1x | 67 | 51% |
| ADX / DI 방향성 period=23, threshold=34 |
0.0% | -2.6% | 0.06 | 0.02 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.6% | -40.5% | -0.31 | -0.11 | 0.6x | 168 | 55% |
| Buy and hold | 7.0% | -28.3% | 0.47 | 0.25 | 1.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 40-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 40-day middle average