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 8.5%, drawdown -43.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.6%, MDD -42.5%, Sharpe 0.43, 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=6, threshold=-0.12 |
8.6% | -42.5% | 0.43 | 0.20 | 11.9x | 13 | 100% |
| Donchian 채널 돌파 entryN=103, exitN=78 |
5.2% | -40.1% | 0.36 | 0.13 | 4.6x | 38 | 59% |
| SMA 크로스오버 fast=59, slow=138 |
5.5% | -53.0% | 0.36 | 0.10 | 5.0x | 54 | 66% |
| EMA 크로스오버 fast=56, slow=190 |
3.7% | -52.0% | 0.27 | 0.07 | 2.9x | 43 | 72% |
| ADX / DI 방향성 period=27, threshold=34 |
0.4% | -8.9% | 0.22 | 0.05 | 1.1x | 8 | 1% |
| Supertrend period=12, mult=5 |
1.8% | -72.9% | 0.19 | 0.02 | 1.7x | 96 | 65% |
| 볼린저 밴드 돌파 n=58, k=2.8 |
-1.1% | -49.4% | -0.02 | -0.02 | 0.7x | 78 | 22% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.1% | -77.1% | -0.04 | -0.04 | 0.4x | 212 | 56% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=22, mult=3.3 |
-2.1% | -62.6% | -0.13 | -0.03 | 0.5x | 88 | 17% |
| MACD fast=24, slow=47, signal=23 |
-8.6% | -95.1% | -0.33 | -0.09 | 0.1x | 329 | 48% |
| Buy and hold | 8.5% | -43.6% | 0.42 | 0.20 | 11.5x | 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 6-day return is greater than -12%
- Sell — Sell when the 6-day return drops to -12% or below