Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Roche Holding Ltd backtest
10 trend-following strategies were compared on the full daily history of Roche Holding Ltd. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.1%, MDD -36.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -58.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.7%, MDD -22.1%, Sharpe 0.29, 13% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.3%, MDD -58.3%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 36.2%p (CAGR 3.1%, MDD -36.7%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=29, mult=3.9 |
1.7% | -22.1% | 0.29 | 0.08 | 1.7x | 42 | 13% |
| EMA 크로스오버 fast=43, slow=199 |
3.1% | -36.7% | 0.27 | 0.08 | 2.6x | 43 | 59% |
| SMA 크로스오버 fast=76, slow=97 |
3.0% | -48.5% | 0.27 | 0.06 | 2.5x | 107 | 55% |
| ROC 모멘텀 Hold-like · Exposure 100% n=4, threshold=-0.13 |
3.3% | -58.3% | 0.26 | 0.06 | 2.8x | 7 | 100% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
1.5% | -29.2% | 0.21 | 0.05 | 1.6x | 66 | 21% |
| ADX / DI 방향성 period=37, threshold=39 |
0.3% | -8.6% | 0.17 | 0.04 | 1.1x | 4 | 2% |
| Donchian 채널 돌파 entryN=63, exitN=77 |
1.3% | -56.6% | 0.16 | 0.02 | 1.5x | 51 | 57% |
| Supertrend period=27, mult=4.9 |
-0.2% | -64.6% | 0.06 | -0.00 | 0.9x | 103 | 54% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-2.3% | -76.5% | -0.07 | -0.03 | 0.5x | 375 | 55% |
| MACD fast=19, slow=30, signal=16 |
-4.0% | -78.5% | -0.18 | -0.05 | 0.3x | 392 | 51% |
| Buy and hold | 3.7% | -58.3% | 0.27 | 0.06 | 3.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 32-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 32-day average