Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Mobimo Holding AG backtest
10 trend-following strategies were compared on the full daily history of Mobimo Holding AG. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.7%, MDD -21.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.6%, drawdown -42.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.7%, MDD -21.4%, Sharpe 0.39, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 3.7%, MDD -21.4%, exposure 56%).
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=86, exitN=71 |
3.7% | -21.4% | 0.39 | 0.17 | 2.3x | 30 | 56% |
| ADX / DI 방향성 period=18, threshold=32 |
1.6% | -17.4% | 0.37 | 0.09 | 1.4x | 36 | 12% |
| SMA 크로스오버 fast=41, slow=151 |
3.6% | -26.5% | 0.36 | 0.13 | 2.2x | 32 | 58% |
| EMA 크로스오버 fast=52, slow=158 |
2.2% | -29.0% | 0.25 | 0.08 | 1.6x | 34 | 56% |
| Supertrend period=16, mult=3.6 |
1.8% | -33.2% | 0.23 | 0.05 | 1.5x | 80 | 52% |
| ROC 모멘텀 n=100, threshold=-0.04 |
2.1% | -34.8% | 0.23 | 0.06 | 1.6x | 116 | 79% |
| 볼린저 밴드 돌파 n=20, k=3.4 |
0.5% | -8.8% | 0.21 | 0.05 | 1.1x | 16 | 6% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=26, mult=3.3 |
0.3% | -11.2% | 0.12 | 0.03 | 1.1x | 16 | 6% |
| Parabolic SAR step=0.005, maxStep=0.16 |
0.1% | -39.0% | 0.06 | 0.00 | 1.0x | 161 | 52% |
| MACD fast=19, slow=56, signal=18 |
-1.5% | -54.7% | -0.09 | -0.03 | 0.7x | 221 | 51% |
| Buy and hold | 3.6% | -42.1% | 0.31 | 0.09 | 2.2x | 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 86 days
- Sell — Sell when price breaks below the lowest low of the last 71 days