Trend-Following Backtester · Guide · backtest 한국어
etf · CH
IMMOFONDS Schweizerischer Immobilien-Anlagefonds Anteile backtest
10 trend-following strategies were compared on the full daily history of IMMOFONDS Schweizerischer Immobilien-Anlagefonds Anteile. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -40.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.1%, MDD -4.8%, Sharpe 0.34, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.1%, MDD -40.7%, exposure 66%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=44, threshold=39 |
1.1% | -4.8% | 0.34 | 0.23 | 1.2x | 2 | 3% |
| EMA 크로스오버 fast=51, slow=147 |
2.1% | -40.7% | 0.20 | 0.05 | 1.5x | 23 | 69% |
| SMA 크로스오버 fast=31, slow=138 |
2.1% | -40.7% | 0.20 | 0.05 | 1.5x | 43 | 66% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=9, mult=3.9 |
0.6% | -6.2% | 0.20 | 0.09 | 1.1x | 4 | 4% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
-0.1% | -6.4% | -0.05 | -0.02 | 1.0x | 10 | 3% |
| ROC 모멘텀 n=95, threshold=0.21 |
-0.1% | -7.2% | -0.06 | -0.01 | 1.0x | 12 | 1% |
| Supertrend period=16, mult=4.3 |
-2.1% | -53.3% | -0.12 | -0.04 | 0.7x | 57 | 65% |
| Donchian 채널 돌파 entryN=68, exitN=43 |
-4.0% | -64.8% | -0.20 | -0.06 | 0.5x | 45 | 54% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-7.9% | -82.3% | -0.56 | -0.10 | 0.2x | 147 | 62% |
| MACD fast=18, slow=54, signal=19 |
-10.9% | -88.7% | -0.84 | -0.12 | 0.1x | 214 | 48% |
| Buy and hold | 4.6% | -40.7% | 0.29 | 0.11 | 2.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 44-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)