Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Interroll Holding AG backtest
10 trend-following strategies were compared on the full daily history of Interroll Holding AG. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.5%, MDD -37.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.1%, drawdown -75.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.1%, MDD -44.6%, Sharpe 0.64, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 30.9%p (CAGR 12.5%, MDD -37.6%, exposure 61%).
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=24, slow=166 |
13.1% | -44.6% | 0.64 | 0.29 | 35.6x | 42 | 61% |
| EMA 크로스오버 fast=42, slow=88 |
12.5% | -37.6% | 0.62 | 0.33 | 31.1x | 44 | 61% |
| Donchian 채널 돌파 entryN=85, exitN=65 |
10.0% | -40.8% | 0.53 | 0.24 | 16.0x | 40 | 56% |
| Keltner 채널 돌파 emaPeriod=129, atrPeriod=27, mult=2.8 |
8.0% | -39.3% | 0.47 | 0.20 | 9.4x | 66 | 49% |
| ROC 모멘텀 n=164, threshold=-0.06 |
7.5% | -64.1% | 0.41 | 0.12 | 8.2x | 126 | 69% |
| Supertrend period=11, mult=5 |
4.1% | -64.3% | 0.29 | 0.06 | 3.2x | 104 | 58% |
| 볼린저 밴드 돌파 n=71, k=1.3 |
1.9% | -59.0% | 0.19 | 0.03 | 1.7x | 150 | 46% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.3% | -68.4% | 0.06 | -0.02 | 0.7x | 223 | 54% |
| ADX / DI 방향성 period=31, threshold=37 |
-0.0% | -1.9% | -0.01 | -0.00 | 1.0x | 2 | 0% |
| MACD fast=15, slow=57, signal=28 |
-3.3% | -73.4% | -0.01 | -0.04 | 0.4x | 291 | 49% |
| Buy and hold | 6.1% | -75.5% | 0.34 | 0.08 | 5.6x | 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 24-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 24-day average falls below the 166-day average