Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Siegfried Holding AG backtest
10 trend-following strategies were compared on the full daily history of Siegfried Holding AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.4%, MDD -33.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.5%, drawdown -73.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -33.9%, Sharpe 0.60, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 9.4%, MDD -33.9%, exposure 60%).
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=85, slow=138 |
9.4% | -33.9% | 0.60 | 0.28 | 17.1x | 56 | 60% |
| ROC 모멘텀 Hold-like · Exposure 100% n=8, threshold=-0.15 |
8.7% | -63.1% | 0.46 | 0.14 | 13.7x | 17 | 100% |
| Donchian 채널 돌파 entryN=98, exitN=66 |
6.3% | -42.8% | 0.46 | 0.15 | 6.8x | 44 | 53% |
| ADX / DI 방향성 period=38, threshold=24 |
2.6% | -15.5% | 0.39 | 0.17 | 2.2x | 40 | 10% |
| EMA 크로스오버 fast=57, slow=209 |
5.4% | -56.4% | 0.38 | 0.10 | 5.3x | 40 | 62% |
| Supertrend period=24, mult=5 |
5.2% | -50.2% | 0.37 | 0.10 | 4.9x | 106 | 58% |
| 볼린저 밴드 돌파 n=32, k=3 |
3.0% | -26.9% | 0.36 | 0.11 | 2.5x | 74 | 16% |
| Parabolic SAR step=0.005, maxStep=0.06 |
4.9% | -38.3% | 0.36 | 0.13 | 4.5x | 224 | 53% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=7, mult=3.3 |
2.8% | -30.0% | 0.32 | 0.09 | 2.4x | 86 | 21% |
| MACD fast=40, slow=42, signal=31 |
1.8% | -54.0% | 0.19 | 0.03 | 1.8x | 212 | 50% |
| Buy and hold | 7.5% | -73.5% | 0.41 | 0.10 | 9.7x | 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 85-day average price crosses above the 138-day average
- Sell — Sell (to cash) when the 85-day average falls below the 138-day average