Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Huber + Suhner AG backtest
10 trend-following strategies were compared on the full daily history of Huber + Suhner AG. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.8%, MDD -24.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.1%, drawdown -92.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.8%, MDD -24.5%, Sharpe 0.72, 18% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 15.2%, MDD -52.5%, exposure 63%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 68.4%p (CAGR 8.8%, MDD -24.5%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=52, k=3.5 |
8.8% | -24.5% | 0.72 | 0.36 | 13.8x | 38 | 18% |
| EMA 크로스오버 fast=55, slow=109 |
15.2% | -52.5% | 0.70 | 0.29 | 82.0x | 40 | 63% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=15, mult=3.7 |
8.9% | -28.3% | 0.67 | 0.32 | 14.4x | 60 | 17% |
| SMA 크로스오버 fast=13, slow=218 |
14.0% | -49.1% | 0.67 | 0.29 | 60.3x | 58 | 62% |
| Parabolic SAR step=0.01, maxStep=0.04 |
13.4% | -55.5% | 0.64 | 0.24 | 51.1x | 255 | 58% |
| Donchian 채널 돌파 entryN=55, exitN=57 |
13.2% | -65.2% | 0.64 | 0.20 | 47.7x | 56 | 61% |
| ROC 모멘텀 n=109, threshold=-0.04 |
13.8% | -58.6% | 0.64 | 0.24 | 56.2x | 236 | 70% |
| ADX / DI 방향성 period=16, threshold=39 |
5.8% | -16.7% | 0.60 | 0.35 | 5.7x | 44 | 7% |
| Supertrend period=11, mult=5 |
11.5% | -71.0% | 0.57 | 0.16 | 30.2x | 90 | 60% |
| MACD fast=24, slow=60, signal=21 |
8.1% | -70.1% | 0.43 | 0.11 | 11.2x | 249 | 52% |
| Buy and hold | 9.1% | -92.8% | 0.42 | 0.10 | 15.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 52-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 52-day middle average