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. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.2%, drawdown -45.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -3.6%, Sharpe 0.48, 3% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.0%, MDD -37.1%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=47, threshold=37 |
0.5% | -3.6% | 0.48 | 0.14 | 1.1x | 2 | 3% |
| ROC 모멘텀 Hold-like · Exposure 99% n=16, threshold=-0.1 |
8.0% | -37.1% | 0.38 | 0.22 | 7.0x | 31 | 99% |
| SMA 크로스오버 fast=43, slow=160 |
6.0% | -39.6% | 0.31 | 0.15 | 4.3x | 42 | 63% |
| EMA 크로스오버 fast=59, slow=135 |
4.8% | -48.2% | 0.27 | 0.10 | 3.2x | 38 | 63% |
| Donchian 채널 돌파 entryN=116, exitN=74 |
4.1% | -43.7% | 0.24 | 0.09 | 2.7x | 32 | 51% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
0.6% | -20.3% | 0.17 | 0.03 | 1.2x | 14 | 7% |
| Supertrend period=20, mult=3.5 |
0.5% | -29.2% | 0.10 | 0.02 | 1.1x | 115 | 57% |
| MACD fast=20, slow=58, signal=26 |
-0.8% | -41.4% | -0.01 | -0.02 | 0.8x | 213 | 53% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=16, mult=3 |
-0.2% | -20.0% | -0.04 | -0.01 | 1.0x | 24 | 4% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.1% | -48.4% | -0.13 | -0.04 | 0.6x | 221 | 56% |
| Buy and hold | 7.2% | -45.4% | 0.35 | 0.16 | 5.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 47-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)