Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Swisscom AG backtest
10 trend-following strategies were compared on the full daily history of Swisscom AG. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 1.9%, drawdown -59.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.2%, MDD -14.9%, Sharpe 0.26, 8% 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=17, threshold=31 |
1.2% | -14.9% | 0.26 | 0.08 | 1.4x | 60 | 8% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=8, mult=2.9 |
0.6% | -11.1% | 0.22 | 0.05 | 1.2x | 8 | 1% |
| ROC 모멘텀 n=1, threshold=0.11 |
0.5% | -2.1% | 0.22 | 0.22 | 1.1x | 6 | 0% |
| 볼린저 밴드 돌파 n=12, k=2.8 |
0.4% | -26.7% | 0.10 | 0.01 | 1.1x | 38 | 4% |
| SMA 크로스오버 fast=50, slow=143 |
-0.1% | -38.3% | 0.06 | -0.00 | 1.0x | 62 | 49% |
| EMA 크로스오버 fast=57, slow=162 |
-0.3% | -45.0% | 0.05 | -0.01 | 0.9x | 41 | 50% |
| Donchian 채널 돌파 entryN=90, exitN=56 |
-0.9% | -45.5% | -0.02 | -0.02 | 0.8x | 48 | 38% |
| MACD fast=39, slow=72, signal=41 |
-2.7% | -77.5% | -0.14 | -0.03 | 0.5x | 145 | 51% |
| Supertrend period=4, mult=4.2 |
-3.2% | -77.7% | -0.17 | -0.04 | 0.4x | 123 | 49% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-5.0% | -86.5% | -0.30 | -0.06 | 0.2x | 250 | 52% |
| Buy and hold | 1.9% | -59.4% | 0.19 | 0.03 | 1.7x | 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, 17-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)