Trend-Following Backtester · Guide · backtest 한국어
etf · CH
HBM Healthcare Investments AG backtest
10 trend-following strategies were compared on the full daily history of HBM Healthcare Investments AG. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.4%, MDD -20.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.6%, drawdown -78.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.8%, MDD -32.5%, Sharpe 0.74, 68% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 8.4%, MDD -20.9%, exposure 45%).
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=38, exitN=73 |
11.8% | -32.5% | 0.74 | 0.36 | 8.0x | 26 | 68% |
| SMA 크로스오버 fast=48, slow=115 |
11.7% | -39.2% | 0.73 | 0.30 | 7.9x | 31 | 62% |
| EMA 크로스오버 fast=22, slow=148 |
10.1% | -32.3% | 0.69 | 0.31 | 6.1x | 27 | 61% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=36, mult=3 |
7.2% | -22.0% | 0.67 | 0.33 | 3.7x | 52 | 32% |
| ROC 모멘텀 n=150, threshold=0.1 |
8.4% | -20.9% | 0.66 | 0.40 | 4.5x | 74 | 45% |
| 볼린저 밴드 돌파 n=14, k=2.8 |
3.2% | -10.3% | 0.56 | 0.30 | 1.8x | 42 | 9% |
| Supertrend period=24, mult=4 |
7.6% | -50.3% | 0.52 | 0.15 | 3.9x | 72 | 60% |
| ADX / DI 방향성 period=35, threshold=10 |
4.8% | -42.8% | 0.42 | 0.11 | 2.4x | 176 | 38% |
| Parabolic SAR step=0.005, maxStep=0.32 |
2.3% | -62.5% | 0.22 | 0.04 | 1.5x | 140 | 54% |
| MACD fast=24, slow=50, signal=16 |
1.1% | -65.2% | 0.15 | 0.02 | 1.2x | 170 | 50% |
| Buy and hold | 5.6% | -78.1% | 0.34 | 0.07 | 2.8x | 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 38 days
- Sell — Sell when price breaks below the lowest low of the last 73 days