Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Partners Group Holding AG backtest
10 trend-following strategies were compared on the full daily history of Partners Group Holding AG. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.2%, MDD -38.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.0%, drawdown -69.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.8%, MDD -42.3%, Sharpe 0.71, 65% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 10.2%, MDD -38.8%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=76, slow=155 |
12.8% | -42.3% | 0.71 | 0.30 | 11.9x | 22 | 65% |
| ADX / DI 방향성 period=38, threshold=18 |
7.0% | -16.0% | 0.69 | 0.44 | 4.0x | 42 | 22% |
| Supertrend period=12, mult=2.2 |
10.2% | -38.8% | 0.60 | 0.26 | 7.3x | 232 | 58% |
| Donchian 채널 돌파 entryN=80, exitN=101 |
10.1% | -41.8% | 0.59 | 0.24 | 7.2x | 22 | 66% |
| ROC 모멘텀 n=71, threshold=-0.02 |
10.0% | -40.0% | 0.58 | 0.25 | 7.1x | 170 | 69% |
| Parabolic SAR step=0.025, maxStep=0.06 |
8.0% | -44.4% | 0.50 | 0.18 | 4.8x | 294 | 58% |
| EMA 크로스오버 fast=40, slow=89 |
7.9% | -56.4% | 0.49 | 0.14 | 4.8x | 42 | 66% |
| MACD fast=16, slow=33, signal=17 |
7.5% | -44.8% | 0.48 | 0.17 | 4.4x | 238 | 50% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=22, mult=1.5 |
5.4% | -53.9% | 0.40 | 0.10 | 3.0x | 144 | 52% |
| 볼린저 밴드 돌파 n=22, k=1.1 |
3.1% | -45.0% | 0.26 | 0.07 | 1.9x | 274 | 49% |
| Buy and hold | 10.0% | -69.4% | 0.48 | 0.14 | 7.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 76-day average price crosses above the 155-day average
- Sell — Sell (to cash) when the 76-day average falls below the 155-day average