Trend-Following Backtester · Guide · backtest 한국어
equity · CH
HIAG Immobilien Holding AG backtest
10 trend-following strategies were compared on the full daily history of HIAG Immobilien Holding AG. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.2%, MDD -32.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.6%, drawdown -48.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.6%, MDD -42.4%, Sharpe 0.37, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 6.3%p (CAGR 4.2%, MDD -32.2%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.1 |
5.6% | -42.4% | 0.37 | 0.13 | 1.9x | 5 | 99% |
| Donchian 채널 돌파 entryN=73, exitN=70 |
4.2% | -32.2% | 0.35 | 0.13 | 1.7x | 15 | 54% |
| EMA 크로스오버 fast=59, slow=193 |
4.3% | -34.4% | 0.35 | 0.13 | 1.7x | 9 | 57% |
| SMA 크로스오버 fast=35, slow=176 |
3.4% | -39.7% | 0.30 | 0.09 | 1.5x | 19 | 53% |
| ADX / DI 방향성 period=37, threshold=31 |
0.2% | -3.9% | 0.10 | 0.04 | 1.0x | 2 | 1% |
| Supertrend period=11, mult=4 |
0.3% | -53.2% | 0.09 | 0.01 | 1.0x | 38 | 58% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.0% | -46.4% | 0.08 | -0.00 | 1.0x | 73 | 55% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=8, mult=3.1 |
-1.3% | -27.3% | -0.09 | -0.05 | 0.9x | 34 | 24% |
| 볼린저 밴드 돌파 n=54, k=2.5 |
-1.5% | -39.5% | -0.09 | -0.04 | 0.8x | 42 | 27% |
| MACD fast=18, slow=48, signal=20 |
-4.0% | -53.5% | -0.20 | -0.08 | 0.6x | 122 | 50% |
| Buy and hold | 4.6% | -48.7% | 0.32 | 0.09 | 1.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 7-day return is greater than -10%
- Sell — Sell when the 7-day return drops to -10% or below