Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Schindler Holding Ltd. backtest
10 trend-following strategies were compared on the full daily history of Schindler Holding Ltd.. 0 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 8.8%, MDD -36.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -50.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.8%, MDD -36.4%, Sharpe 0.50, 75% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 13.8%p (CAGR 8.8%, MDD -36.4%, exposure 75%).
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=40, exitN=75 |
8.8% | -36.4% | 0.50 | 0.24 | 14.4x | 54 | 75% |
| EMA 크로스오버 fast=19, slow=33 |
7.7% | -35.7% | 0.48 | 0.22 | 10.4x | 153 | 61% |
| SMA 크로스오버 fast=36, slow=98 |
7.4% | -51.8% | 0.45 | 0.14 | 9.4x | 84 | 62% |
| Supertrend period=19, mult=4.9 |
6.1% | -32.9% | 0.41 | 0.18 | 6.4x | 84 | 55% |
| ROC 모멘텀 n=122, threshold=-0.15 |
6.2% | -71.4% | 0.37 | 0.09 | 6.7x | 119 | 91% |
| MACD fast=70, slow=74, signal=32 |
4.7% | -48.3% | 0.34 | 0.10 | 4.3x | 161 | 51% |
| ADX / DI 방향성 period=27, threshold=29 |
1.2% | -17.3% | 0.28 | 0.07 | 1.5x | 18 | 4% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=8, mult=3 |
2.9% | -48.4% | 0.26 | 0.06 | 2.5x | 106 | 39% |
| 볼린저 밴드 돌파 n=58, k=2.8 |
2.0% | -33.9% | 0.23 | 0.06 | 1.9x | 60 | 21% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.6% | -62.8% | 0.07 | -0.01 | 0.8x | 267 | 58% |
| Buy and hold | 9.5% | -50.1% | 0.46 | 0.19 | 17.3x | 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 40 days
- Sell — Sell when price breaks below the lowest low of the last 75 days