Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Geberit AG backtest
10 trend-following strategies were compared on the full daily history of Geberit AG. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.9%, MDD -34.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.1%, drawdown -73.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -34.0%, Sharpe 0.52, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 7.9%, MDD -34.0%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=75, exitN=81 |
7.9% | -34.0% | 0.52 | 0.23 | 8.4x | 37 | 61% |
| SMA 크로스오버 fast=56, slow=83 |
7.5% | -42.1% | 0.49 | 0.18 | 7.6x | 85 | 59% |
| EMA 크로스오버 fast=25, slow=170 |
6.7% | -35.9% | 0.46 | 0.19 | 6.2x | 50 | 63% |
| Supertrend period=36, mult=4.9 |
6.4% | -51.0% | 0.41 | 0.12 | 5.7x | 96 | 58% |
| ROC 모멘텀 n=121, threshold=-0.04 |
5.8% | -37.6% | 0.39 | 0.15 | 4.9x | 189 | 69% |
| ADX / DI 방향성 period=39, threshold=22 |
2.5% | -24.6% | 0.37 | 0.10 | 2.0x | 26 | 9% |
| 볼린저 밴드 돌파 n=41, k=2.6 |
2.6% | -44.8% | 0.30 | 0.06 | 2.0x | 76 | 23% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=21, mult=2 |
3.2% | -49.1% | 0.29 | 0.06 | 2.4x | 150 | 43% |
| Parabolic SAR step=0.02, maxStep=0.02 |
0.3% | -64.3% | 0.11 | 0.00 | 1.1x | 186 | 59% |
| MACD fast=25, slow=58, signal=24 |
-2.1% | -70.9% | 0.03 | -0.03 | 0.6x | 234 | 52% |
| Buy and hold | 6.1% | -73.1% | 0.36 | 0.08 | 5.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 75 days
- Sell — Sell when price breaks below the lowest low of the last 81 days