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. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.1%, MDD -35.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.0%, drawdown -79.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -46.3%, Sharpe 0.62, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 10.1%, MDD -35.5%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=115 |
11.1% | -46.3% | 0.62 | 0.24 | 23.5x | 71 | 62% |
| EMA 크로스오버 fast=18, slow=128 |
10.1% | -35.5% | 0.61 | 0.29 | 18.1x | 69 | 64% |
| Donchian 채널 돌파 entryN=87, exitN=66 |
8.4% | -38.5% | 0.54 | 0.22 | 11.4x | 43 | 58% |
| ROC 모멘텀 n=130, threshold=-0.12 |
9.2% | -55.8% | 0.50 | 0.17 | 14.2x | 101 | 83% |
| 볼린저 밴드 돌파 n=55, k=3.4 |
3.6% | -25.4% | 0.41 | 0.14 | 2.9x | 14 | 9% |
| Supertrend period=20, mult=2.2 |
4.9% | -55.1% | 0.33 | 0.09 | 4.2x | 325 | 59% |
| Parabolic SAR step=0.015, maxStep=0.3 |
3.4% | -67.0% | 0.27 | 0.05 | 2.7x | 525 | 54% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=27, mult=3.6 |
0.6% | -26.3% | 0.16 | 0.02 | 1.2x | 18 | 2% |
| MACD fast=17, slow=26, signal=14 |
-0.6% | -66.4% | 0.07 | -0.01 | 0.8x | 457 | 51% |
| ADX / DI 방향성 period=32, threshold=13 |
-0.9% | -68.9% | 0.01 | -0.01 | 0.8x | 232 | 32% |
| Buy and hold | 7.0% | -79.1% | 0.37 | 0.09 | 7.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 115-day average
- Sell — Sell (to cash) when the 51-day average falls below the 115-day average