Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Holcim Ltd backtest
10 trend-following strategies were compared on the full daily history of Holcim Ltd. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -8.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.5%, drawdown -77.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -52.0%, Sharpe 0.27, 55% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 0.4%, MDD -8.3%, exposure 2%).
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=45, slow=152 |
3.3% | -52.0% | 0.27 | 0.06 | 2.3x | 42 | 55% |
| ADX / DI 방향성 period=29, threshold=28 |
0.4% | -8.3% | 0.14 | 0.04 | 1.1x | 8 | 2% |
| Supertrend period=16, mult=3.1 |
0.3% | -57.0% | 0.12 | 0.01 | 1.1x | 182 | 56% |
| ROC 모멘텀 n=115, threshold=-0.11 |
-0.7% | -68.1% | 0.10 | -0.01 | 0.8x | 135 | 75% |
| Donchian 채널 돌파 entryN=40, exitN=67 |
-0.2% | -53.1% | 0.09 | -0.00 | 0.9x | 58 | 66% |
| EMA 크로스오버 fast=58, slow=217 |
-0.4% | -67.6% | 0.09 | -0.01 | 0.9x | 32 | 53% |
| MACD fast=17, slow=24, signal=24 |
-0.3% | -47.0% | 0.08 | -0.01 | 0.9x | 316 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=29, mult=2.3 |
-0.5% | -41.4% | 0.04 | -0.01 | 0.9x | 116 | 35% |
| 볼린저 밴드 돌파 n=39, k=1.9 |
-0.7% | -46.1% | 0.03 | -0.02 | 0.8x | 132 | 32% |
| Parabolic SAR step=0.01, maxStep=0.04 |
-3.6% | -70.9% | -0.04 | -0.05 | 0.4x | 246 | 55% |
| Buy and hold | -1.5% | -77.2% | 0.12 | -0.02 | 0.7x | 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 45-day average price crosses above the 152-day average
- Sell — Sell (to cash) when the 45-day average falls below the 152-day average