Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Sensirion Holding AG backtest
10 trend-following strategies were compared on the full daily history of Sensirion Holding AG. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.4%, MDD -15.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.6%, drawdown -64.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.4%, MDD -15.4%, Sharpe 0.67, 12% exposure.
CAGR reference leader: Supertrend — CAGR 14.3%, MDD -44.0%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 48.5%p (CAGR 8.4%, MDD -15.4%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=62, k=3.4 |
8.4% | -15.4% | 0.67 | 0.54 | 2.0x | 6 | 12% |
| Supertrend period=21, mult=2.4 |
14.3% | -44.0% | 0.60 | 0.32 | 3.1x | 61 | 52% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=16, mult=2 |
6.7% | -29.3% | 0.45 | 0.23 | 1.7x | 48 | 22% |
| ADX / DI 방향성 period=19, threshold=31 |
4.8% | -20.9% | 0.45 | 0.23 | 1.5x | 18 | 8% |
| SMA 크로스오버 fast=58, slow=192 |
8.0% | -49.1% | 0.43 | 0.16 | 1.9x | 11 | 42% |
| ROC 모멘텀 n=102, threshold=0.09 |
6.8% | -49.8% | 0.40 | 0.14 | 1.8x | 57 | 39% |
| EMA 크로스오버 fast=7, slow=58 |
6.3% | -58.1% | 0.35 | 0.11 | 1.7x | 41 | 51% |
| Donchian 채널 돌파 entryN=28, exitN=33 |
4.9% | -65.4% | 0.31 | 0.08 | 1.5x | 33 | 54% |
| MACD fast=13, slow=59, signal=19 |
4.9% | -53.9% | 0.31 | 0.09 | 1.5x | 85 | 49% |
| Parabolic SAR step=0.005, maxStep=0.12 |
2.6% | -67.2% | 0.24 | 0.04 | 1.2x | 73 | 51% |
| Buy and hold | 7.6% | -64.0% | 0.38 | 0.12 | 1.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 62-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 62-day middle average