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. 3 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
3 of 10 beat buy and hold (CAGR 3.3%, drawdown -42.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.7%, MDD -21.4%, Sharpe 0.39, 56% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.7%, MDD -31.4%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%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=81, exitN=75 |
3.7% | -21.4% | 0.39 | 0.17 | 2.3x | 30 | 56% |
| SMA 크로스오버 fast=57, slow=206 |
3.7% | -31.4% | 0.38 | 0.12 | 2.3x | 26 | 57% |
| ADX / DI 방향성 period=18, threshold=33 |
1.5% | -15.0% | 0.38 | 0.10 | 1.4x | 40 | 12% |
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.09 |
3.7% | -38.7% | 0.32 | 0.09 | 2.3x | 11 | 99% |
| EMA 크로스오버 fast=57, slow=152 |
2.5% | -28.2% | 0.28 | 0.09 | 1.8x | 30 | 56% |
| Supertrend period=14, mult=3.6 |
1.8% | -33.2% | 0.23 | 0.05 | 1.5x | 80 | 52% |
| 볼린저 밴드 돌파 n=22, k=3.2 |
0.6% | -19.2% | 0.19 | 0.03 | 1.1x | 30 | 8% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=21, mult=3.2 |
0.2% | -6.1% | 0.15 | 0.04 | 1.1x | 10 | 4% |
| MACD fast=28, slow=34, signal=28 |
0.1% | -38.8% | 0.07 | 0.00 | 1.0x | 178 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.2% | -39.1% | 0.03 | -0.01 | 1.0x | 164 | 52% |
| Buy and hold | 3.3% | -42.1% | 0.29 | 0.08 | 2.1x | 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 81 days
- Sell — Sell when price breaks below the lowest low of the last 75 days