Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Helvetia Baloise Holding AG backtest
10 trend-following strategies were compared on the full daily history of Helvetia Baloise Holding AG. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.5%, MDD -33.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.8%, drawdown -79.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.5%, MDD -33.1%, Sharpe 0.62, 64% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.9%, MDD -47.2%, exposure 62%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 46.0%p (CAGR 10.5%, MDD -33.1%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=25, slow=113 |
10.5% | -33.1% | 0.62 | 0.32 | 20.2x | 55 | 64% |
| SMA 크로스오버 fast=50, slow=115 |
10.9% | -47.2% | 0.61 | 0.23 | 22.4x | 69 | 62% |
| Donchian 채널 돌파 entryN=82, exitN=68 |
8.7% | -36.6% | 0.55 | 0.24 | 12.5x | 41 | 59% |
| ROC 모멘텀 n=136, threshold=-0.04 |
6.7% | -53.6% | 0.42 | 0.13 | 7.1x | 221 | 72% |
| 볼린저 밴드 돌파 n=54, k=3.4 |
3.4% | -25.4% | 0.39 | 0.13 | 2.7x | 16 | 9% |
| Supertrend period=19, mult=2.2 |
4.6% | -53.8% | 0.32 | 0.09 | 3.9x | 330 | 58% |
| Parabolic SAR step=0.015, maxStep=0.3 |
2.9% | -67.0% | 0.24 | 0.04 | 2.4x | 530 | 54% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=15, mult=1 |
1.0% | -63.8% | 0.14 | 0.02 | 1.3x | 286 | 51% |
| MACD fast=15, slow=32, signal=12 |
-0.8% | -68.3% | 0.06 | -0.01 | 0.8x | 490 | 51% |
| ADX / DI 방향성 period=29, threshold=11 |
-0.6% | -65.6% | 0.05 | -0.01 | 0.8x | 340 | 42% |
| Buy and hold | 6.8% | -79.1% | 0.37 | 0.09 | 7.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 113-day EMA
- Sell — Sell when the 25-day EMA falls below the 113-day EMA