Trend-Following Backtester · Guide · backtest 한국어
equity · CH
SFS Group AG backtest
10 trend-following strategies were compared on the full daily history of SFS Group AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.5%, MDD -31.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.1%, drawdown -50.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.7%, MDD -31.8%, Sharpe 0.54, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 18.4%p (CAGR 7.5%, MDD -31.3%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=38, slow=64 |
7.7% | -31.8% | 0.54 | 0.24 | 2.5x | 48 | 55% |
| Donchian 채널 돌파 entryN=45, exitN=48 |
7.5% | -31.3% | 0.53 | 0.24 | 2.5x | 25 | 54% |
| ADX / DI 방향성 period=50, threshold=19 |
1.9% | -9.3% | 0.41 | 0.21 | 1.3x | 4 | 7% |
| Supertrend period=29, mult=1.7 |
5.1% | -44.3% | 0.38 | 0.11 | 1.8x | 147 | 55% |
| EMA 크로스오버 fast=11, slow=192 |
4.8% | -32.3% | 0.37 | 0.15 | 1.8x | 25 | 58% |
| 볼린저 밴드 돌파 n=51, k=1.5 |
3.7% | -26.6% | 0.34 | 0.14 | 1.6x | 60 | 39% |
| ROC 모멘텀 n=62, threshold=-0.03 |
3.4% | -43.4% | 0.28 | 0.08 | 1.5x | 127 | 66% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=10, mult=1.3 |
3.0% | -31.0% | 0.27 | 0.10 | 1.4x | 85 | 45% |
| MACD fast=17, slow=36, signal=24 |
3.0% | -39.2% | 0.26 | 0.08 | 1.4x | 123 | 48% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-1.0% | -49.4% | 0.02 | -0.02 | 0.9x | 223 | 53% |
| Buy and hold | 6.1% | -50.2% | 0.37 | 0.12 | 2.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 38-day average price crosses above the 64-day average
- Sell — Sell (to cash) when the 38-day average falls below the 64-day average