Trend-Following Backtester · Guide · backtest 한국어

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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; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.9%, MDD -27.2%).

Data 1995-07-24 ~ 2026-07-31daily bars 7,905 (31.0 years)Costs 0.5%Venue SIXMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR 9.4%, drawdown -92.8%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.3%, MDD -51.5%, Sharpe 0.71, 63% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 41.3%p (CAGR 8.9%, MDD -27.2%, exposure 20%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
EMA 크로스오버
fast=47, slow=130
15.3%-51.5%0.710.3081.8x3763%
볼린저 밴드 돌파
n=55, k=3.5
8.9%-27.2%0.690.3313.9x4020%
SMA 크로스오버
fast=12, slow=193
14.7%-52.8%0.690.2870.1x6163%
Keltner 채널 돌파
emaPeriod=25, atrPeriod=12, mult=3.7
8.5%-22.0%0.670.3812.4x6215%
Donchian 채널 돌파
entryN=109, exitN=74
12.9%-69.4%0.630.1942.7x3759%
ROC 모멘텀
n=131, threshold=0.03
12.5%-61.5%0.620.2038.5x22557%
Supertrend
period=16, mult=5
11.2%-56.4%0.570.2027.3x9261%
ADX / DI 방향성
period=18, threshold=37
5.4%-17.7%0.560.315.1x407%
Parabolic SAR
step=0.005, maxStep=0.32
9.6%-63.3%0.500.1517.0x24056%
MACD
fast=38, slow=46, signal=16
8.8%-70.9%0.460.1213.7x25252%
Buy and hold9.4%-92.8%0.430.1016.4x1100%
1x 10x 100x 1996 2000 2004 2008 2012 2016 2020 2024 EMA 크로스오버Buy and hold
EMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -46% -70% -93% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdEMA 크로스오버
EMA 크로스오버 maximum drawdown -51.5% (2011-05-20 → 2016-02-11), recovered after 5,239 days.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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