Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Chocoladefabriken Lindt & Spruengli AG backtest
10 trend-following strategies were compared on the full daily history of Chocoladefabriken Lindt & Spruengli AG. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.7%, MDD -38.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.4%, drawdown -59.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.7%, MDD -38.0%, Sharpe 0.60, 92% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 21.4%p (CAGR 10.7%, MDD -38.0%, exposure 92%).
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 n=197, threshold=-0.15 |
10.7% | -38.0% | 0.60 | 0.28 | 24.5x | 42 | 92% |
| SMA 크로스오버 fast=59, slow=204 |
9.4% | -32.9% | 0.59 | 0.29 | 16.9x | 36 | 71% |
| Donchian 채널 돌파 entryN=115, exitN=37 |
6.1% | -35.0% | 0.50 | 0.17 | 6.4x | 64 | 47% |
| EMA 크로스오버 fast=51, slow=108 |
7.0% | -39.1% | 0.48 | 0.18 | 8.5x | 52 | 73% |
| 볼린저 밴드 돌파 n=84, k=2.1 |
5.1% | -27.0% | 0.46 | 0.19 | 4.8x | 76 | 40% |
| Supertrend period=13, mult=5 |
4.2% | -35.4% | 0.34 | 0.12 | 3.6x | 108 | 62% |
| ADX / DI 방향성 period=39, threshold=16 |
2.6% | -31.9% | 0.31 | 0.08 | 2.2x | 104 | 25% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.9% | -53.9% | 0.20 | 0.03 | 1.8x | 260 | 58% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=2 |
0.8% | -39.1% | 0.12 | 0.02 | 1.3x | 188 | 48% |
| MACD fast=31, slow=38, signal=38 |
0.3% | -55.7% | 0.10 | 0.01 | 1.1x | 240 | 51% |
| Buy and hold | 10.4% | -59.3% | 0.55 | 0.17 | 22.4x | 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 197-day return is greater than -15%
- Sell — Sell when the 197-day return drops to -15% or below