Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Kardex Holding AG backtest
10 trend-following strategies were compared on the full daily history of Kardex Holding AG. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.8%, MDD -30.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.0%, drawdown -85.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.2%, MDD -41.3%, Sharpe 0.77, 68% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 10.8%, MDD -30.3%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=13, exitN=23 |
17.2% | -41.3% | 0.77 | 0.42 | 34.5x | 104 | 68% |
| Supertrend period=7, mult=3.2 |
13.7% | -31.8% | 0.69 | 0.43 | 17.5x | 116 | 56% |
| MACD fast=24, slow=56, signal=23 |
13.3% | -61.3% | 0.66 | 0.22 | 16.1x | 160 | 51% |
| Parabolic SAR step=0.01, maxStep=0.02 |
11.8% | -35.1% | 0.62 | 0.34 | 12.0x | 118 | 57% |
| EMA 크로스오버 fast=17, slow=141 |
11.8% | -52.1% | 0.61 | 0.23 | 12.0x | 42 | 65% |
| 볼린저 밴드 돌파 n=51, k=0.9 |
10.8% | -30.3% | 0.60 | 0.36 | 9.9x | 146 | 50% |
| SMA 크로스오버 fast=8, slow=199 |
11.5% | -47.9% | 0.59 | 0.24 | 11.4x | 44 | 67% |
| ROC 모멘텀 n=95, threshold=-0.08 |
10.8% | -52.1% | 0.53 | 0.21 | 9.9x | 112 | 76% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=22, mult=1.2 |
8.3% | -35.0% | 0.50 | 0.24 | 5.9x | 170 | 49% |
| ADX / DI 방향성 period=25, threshold=39 |
1.4% | -9.8% | 0.40 | 0.14 | 1.3x | 4 | 2% |
| Buy and hold | 9.0% | -85.8% | 0.43 | 0.10 | 6.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 13 days
- Sell — Sell when price breaks below the lowest low of the last 23 days