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 EMA 크로스오버 (CAGR 7.3%, MDD -35.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.0%, drawdown -73.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -38.2%, Sharpe 0.53, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 7.3%, MDD -35.9%, exposure 63%).
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=104, exitN=80 |
7.9% | -38.2% | 0.53 | 0.21 | 8.4x | 32 | 58% |
| EMA 크로스오버 fast=25, slow=168 |
7.3% | -35.9% | 0.49 | 0.20 | 7.1x | 48 | 63% |
| SMA 크로스오버 fast=44, slow=98 |
7.2% | -48.9% | 0.48 | 0.15 | 7.0x | 64 | 59% |
| Supertrend period=35, mult=4.9 |
6.6% | -48.0% | 0.43 | 0.14 | 6.0x | 94 | 58% |
| ADX / DI 방향성 period=38, threshold=21 |
2.5% | -25.4% | 0.35 | 0.10 | 2.0x | 36 | 11% |
| 볼린저 밴드 돌파 n=43, k=2.4 |
3.3% | -45.3% | 0.35 | 0.07 | 2.5x | 92 | 29% |
| ROC 모멘텀 n=127, threshold=-0.03 |
4.6% | -44.1% | 0.33 | 0.10 | 3.5x | 176 | 68% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=25, mult=2.5 |
3.3% | -51.5% | 0.32 | 0.06 | 2.5x | 124 | 37% |
| MACD fast=22, slow=58, signal=26 |
-2.2% | -73.0% | 0.02 | -0.03 | 0.5x | 237 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.9% | -80.8% | -0.07 | -0.04 | 0.4x | 250 | 55% |
| Buy and hold | 6.0% | -73.1% | 0.36 | 0.08 | 5.1x | 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 104 days
- Sell — Sell when price breaks below the lowest low of the last 80 days