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. 6 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 10.9%, MDD -30.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.0%, drawdown -85.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -54.7%, Sharpe 0.70, 79% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 10.9%, MDD -30.4%, 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=61 |
16.3% | -54.7% | 0.70 | 0.30 | 28.3x | 65 | 79% |
| MACD fast=41, slow=49, signal=15 |
14.2% | -56.3% | 0.70 | 0.25 | 19.0x | 157 | 51% |
| SMA 크로스오버 fast=5, slow=30 |
12.1% | -36.8% | 0.62 | 0.33 | 12.6x | 227 | 55% |
| Supertrend period=26, mult=4 |
11.9% | -35.7% | 0.62 | 0.33 | 12.1x | 88 | 57% |
| 볼린저 밴드 돌파 n=34, k=0.7 |
10.9% | -30.4% | 0.60 | 0.36 | 10.0x | 229 | 50% |
| EMA 크로스오버 fast=12, slow=127 |
10.9% | -56.5% | 0.56 | 0.19 | 9.9x | 64 | 66% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=9, mult=1.4 |
7.8% | -34.0% | 0.48 | 0.23 | 5.3x | 163 | 46% |
| ROC 모멘텀 n=141, threshold=-0.01 |
8.0% | -66.9% | 0.44 | 0.12 | 5.5x | 124 | 68% |
| Parabolic SAR step=0.005, maxStep=0.28 |
6.8% | -55.8% | 0.40 | 0.12 | 4.3x | 190 | 55% |
| ADX / DI 방향성 period=26, threshold=38 |
1.2% | -9.8% | 0.36 | 0.12 | 1.3x | 4 | 2% |
| Buy and hold | 9.0% | -85.8% | 0.43 | 0.11 | 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 61 days