Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Jungfraubahn Holding AG backtest
10 trend-following strategies were compared on the full daily history of Jungfraubahn Holding AG. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.0%, drawdown -43.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.3%, MDD -43.4%, Sharpe 0.42, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=7, threshold=-0.12 |
8.3% | -43.4% | 0.42 | 0.19 | 10.9x | 19 | 100% |
| SMA 크로스오버 fast=58, slow=136 |
6.0% | -49.4% | 0.38 | 0.12 | 5.7x | 54 | 66% |
| Donchian 채널 돌파 entryN=130, exitN=78 |
5.5% | -31.7% | 0.37 | 0.17 | 4.9x | 34 | 56% |
| EMA 크로스오버 fast=55, slow=157 |
4.1% | -51.2% | 0.29 | 0.08 | 3.3x | 52 | 70% |
| ADX / DI 방향성 period=38, threshold=35 |
0.4% | -5.7% | 0.28 | 0.08 | 1.1x | 2 | 1% |
| Supertrend period=12, mult=5 |
1.8% | -72.9% | 0.19 | 0.02 | 1.7x | 96 | 64% |
| MACD fast=70, slow=74, signal=69 |
0.8% | -59.5% | 0.14 | 0.01 | 1.3x | 118 | 52% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
-1.1% | -52.4% | -0.02 | -0.02 | 0.7x | 84 | 23% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.9% | -73.8% | -0.03 | -0.04 | 0.4x | 210 | 56% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=3.6 |
-1.7% | -55.9% | -0.11 | -0.03 | 0.6x | 74 | 14% |
| Buy and hold | 8.0% | -43.6% | 0.41 | 0.18 | 10.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 7-day return is greater than -12%
- Sell — Sell when the 7-day return drops to -12% or below