Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Lonza Group AG backtest
10 trend-following strategies were compared on the full daily history of Lonza Group AG. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.8%, MDD -42.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.3%, drawdown -79.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.8%, MDD -42.1%, Sharpe 0.61, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 10.8%, MDD -42.1%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=46, slow=261 |
10.8% | -42.1% | 0.61 | 0.26 | 15.9x | 17 | 61% |
| ROC 모멘텀 n=177, threshold=-0.04 |
8.8% | -63.7% | 0.51 | 0.14 | 9.6x | 97 | 68% |
| SMA 크로스오버 fast=38, slow=209 |
8.7% | -55.0% | 0.51 | 0.16 | 9.4x | 27 | 62% |
| 볼린저 밴드 돌파 n=38, k=3.1 |
3.6% | -29.5% | 0.48 | 0.12 | 2.6x | 38 | 13% |
| Donchian 채널 돌파 entryN=60, exitN=103 |
6.4% | -63.5% | 0.39 | 0.10 | 5.3x | 33 | 68% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=3.9 |
3.1% | -28.8% | 0.33 | 0.11 | 2.3x | 56 | 22% |
| ADX / DI 방향성 period=34, threshold=17 |
2.0% | -32.2% | 0.22 | 0.06 | 1.7x | 108 | 22% |
| Supertrend period=12, mult=5 |
0.3% | -70.9% | 0.12 | 0.00 | 1.1x | 88 | 56% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.5% | -68.1% | 0.07 | -0.01 | 0.9x | 233 | 54% |
| MACD fast=14, slow=40, signal=10 |
-0.8% | -61.7% | 0.06 | -0.01 | 0.8x | 411 | 51% |
| Buy and hold | 7.3% | -79.2% | 0.39 | 0.09 | 6.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 261-day EMA
- Sell — Sell when the 46-day EMA falls below the 261-day EMA