Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Georg Fischer AG backtest
10 trend-following strategies were compared on the full daily history of Georg Fischer AG. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.8%, MDD -35.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.1%, drawdown -88.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -45.6%, Sharpe 0.60, 46% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 10.8%, MDD -49.3%, exposure 58%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 43.3%p (CAGR 5.8%, MDD -35.8%, exposure 33%).
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=97, exitN=49 |
9.9% | -45.6% | 0.60 | 0.22 | 19.7x | 49 | 46% |
| EMA 크로스오버 fast=27, slow=48 |
10.8% | -49.3% | 0.58 | 0.22 | 25.0x | 103 | 58% |
| Parabolic SAR step=0.015, maxStep=0.02 |
10.2% | -44.9% | 0.56 | 0.23 | 21.0x | 161 | 57% |
| SMA 크로스오버 fast=23, slow=126 |
9.9% | -55.2% | 0.55 | 0.18 | 19.7x | 73 | 56% |
| ROC 모멘텀 n=117, threshold=0.01 |
9.2% | -52.1% | 0.53 | 0.18 | 16.2x | 193 | 56% |
| Supertrend period=22, mult=4.9 |
8.3% | -48.4% | 0.49 | 0.17 | 12.5x | 103 | 54% |
| 볼린저 밴드 돌파 n=56, k=2.3 |
5.8% | -35.8% | 0.43 | 0.16 | 6.0x | 95 | 33% |
| ADX / DI 방향성 period=32, threshold=6 |
6.3% | -55.9% | 0.41 | 0.11 | 6.9x | 367 | 50% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=22, mult=2.3 |
5.7% | -42.8% | 0.41 | 0.13 | 5.7x | 159 | 39% |
| MACD fast=16, slow=55, signal=31 |
4.1% | -61.3% | 0.29 | 0.07 | 3.6x | 275 | 51% |
| Buy and hold | 5.1% | -88.9% | 0.31 | 0.06 | 4.8x | 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 97 days
- Sell — Sell when price breaks below the lowest low of the last 49 days