Trend-Following Backtester · Guide · backtest 한국어
equity · CH
PSP Swiss Property AG backtest
10 trend-following strategies were compared on the full daily history of PSP Swiss Property AG. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.4%, drawdown -45.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -41.9%, Sharpe 0.31, 64% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=42, slow=166 |
5.8% | -41.9% | 0.31 | 0.14 | 4.1x | 36 | 64% |
| EMA 크로스오버 fast=76, slow=108 |
4.7% | -50.6% | 0.27 | 0.09 | 3.1x | 38 | 64% |
| ROC 모멘텀 n=92, threshold=-0.07 |
4.7% | -46.7% | 0.26 | 0.10 | 3.1x | 134 | 86% |
| Donchian 채널 돌파 entryN=116, exitN=75 |
4.1% | -44.6% | 0.24 | 0.09 | 2.7x | 32 | 52% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
0.4% | -20.3% | 0.13 | 0.02 | 1.1x | 16 | 7% |
| ADX / DI 방향성 period=30, threshold=31 |
0.3% | -15.0% | 0.13 | 0.02 | 1.1x | 16 | 5% |
| Supertrend period=13, mult=3.5 |
0.6% | -32.2% | 0.11 | 0.02 | 1.2x | 116 | 58% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=23, mult=2.9 |
-0.1% | -20.8% | -0.00 | -0.00 | 1.0x | 40 | 7% |
| MACD fast=24, slow=40, signal=38 |
-0.8% | -44.2% | -0.01 | -0.02 | 0.8x | 193 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-1.9% | -48.4% | -0.11 | -0.04 | 0.6x | 219 | 56% |
| Buy and hold | 7.4% | -45.4% | 0.36 | 0.16 | 5.9x | 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 42-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 42-day average falls below the 166-day average