Trend-Following Backtester · Guide · backtest 한국어
equity · CH
INFICON Holding AG backtest
10 trend-following strategies were compared on the full daily history of INFICON Holding AG. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.9%, MDD -35.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.7%, drawdown -81.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.9%, MDD -35.2%, Sharpe 0.63, 63% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.2%, MDD -50.8%, exposure 77%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 13.9%, MDD -35.2%, exposure 63%).
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=58, slow=181 |
13.9% | -35.2% | 0.63 | 0.39 | 29.1x | 27 | 63% |
| Donchian 채널 돌파 entryN=20, exitN=70 |
15.2% | -50.8% | 0.62 | 0.30 | 39.4x | 57 | 77% |
| EMA 크로스오버 fast=50, slow=178 |
13.3% | -39.2% | 0.61 | 0.34 | 25.4x | 25 | 63% |
| Supertrend period=13, mult=3.9 |
9.7% | -48.7% | 0.48 | 0.20 | 11.0x | 105 | 59% |
| ROC 모멘텀 n=81, threshold=-0.04 |
9.7% | -50.7% | 0.48 | 0.19 | 11.1x | 221 | 69% |
| Parabolic SAR step=0.005, maxStep=0.12 |
6.7% | -53.1% | 0.38 | 0.13 | 5.3x | 217 | 54% |
| MACD fast=16, slow=57, signal=23 |
4.9% | -58.4% | 0.31 | 0.08 | 3.5x | 259 | 51% |
| ADX / DI 방향성 period=26, threshold=16 |
4.2% | -56.7% | 0.31 | 0.07 | 2.9x | 174 | 27% |
| 볼린저 밴드 돌파 n=35, k=2.5 |
3.6% | -35.0% | 0.29 | 0.10 | 2.5x | 102 | 26% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=18, mult=2.4 |
3.5% | -41.2% | 0.28 | 0.08 | 2.4x | 127 | 26% |
| Buy and hold | 8.7% | -81.0% | 0.41 | 0.11 | 8.7x | 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 58-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 58-day average falls below the 181-day average