Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Landis+Gyr Group AG backtest
10 trend-following strategies were compared on the full daily history of Landis+Gyr Group AG. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.5%, MDD -1.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.7%, drawdown -61.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.5%, MDD -24.6%, Sharpe 0.42, 22% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 36.5%p (CAGR 0.5%, MDD -1.6%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=3.1 |
4.5% | -24.6% | 0.42 | 0.18 | 1.5x | 18 | 22% |
| 볼린저 밴드 돌파 n=34, k=2.8 |
4.2% | -25.6% | 0.41 | 0.17 | 1.5x | 24 | 19% |
| ROC 모멘텀 n=9, threshold=0.22 |
0.5% | -1.6% | 0.37 | 0.31 | 1.0x | 4 | 0% |
| Donchian 채널 돌파 entryN=58, exitN=40 |
2.1% | -32.3% | 0.20 | 0.06 | 1.2x | 16 | 46% |
| SMA 크로스오버 fast=38, slow=51 |
1.4% | -38.7% | 0.18 | 0.04 | 1.1x | 55 | 49% |
| ADX / DI 방향성 period=51, threshold=19 |
0.9% | -18.0% | 0.15 | 0.05 | 1.1x | 4 | 6% |
| Supertrend period=10, mult=2.1 |
-1.6% | -45.2% | 0.02 | -0.03 | 0.9x | 97 | 49% |
| EMA 크로스오버 fast=32, slow=100 |
-1.9% | -44.8% | -0.01 | -0.04 | 0.8x | 24 | 43% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-6.3% | -57.8% | -0.21 | -0.11 | 0.5x | 159 | 49% |
| MACD fast=13, slow=38, signal=19 |
-7.1% | -60.9% | -0.23 | -0.12 | 0.5x | 117 | 50% |
| Buy and hold | -4.7% | -61.1% | 0.00 | -0.08 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 49-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 49-day average