Trend-Following Backtester · Guide · backtest 한국어
equity · CH
St.Galler Kantonalbank AG backtest
10 trend-following strategies were compared on the full daily history of St.Galler Kantonalbank AG. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.5%, MDD -35.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.7%, drawdown -51.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.7%, MDD -10.1%, Sharpe 0.51, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.5%, MDD -35.4%, exposure 61%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 41.3%p (CAGR 5.5%, MDD -35.4%, exposure 61%).
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=60, k=3.5 |
2.7% | -10.1% | 0.51 | 0.27 | 2.0x | 20 | 11% |
| Donchian 채널 돌파 entryN=89, exitN=40 |
4.6% | -23.3% | 0.51 | 0.20 | 3.1x | 46 | 42% |
| EMA 크로스오버 fast=22, slow=195 |
5.5% | -34.8% | 0.50 | 0.16 | 3.9x | 39 | 61% |
| SMA 크로스오버 fast=47, slow=208 |
5.5% | -35.4% | 0.48 | 0.16 | 3.9x | 29 | 61% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=23, mult=3.8 |
3.0% | -20.2% | 0.46 | 0.15 | 2.1x | 36 | 19% |
| ROC 모멘텀 Hold-like · Exposure 100% n=6, threshold=-0.13 |
5.0% | -55.0% | 0.37 | 0.09 | 3.5x | 9 | 100% |
| Supertrend period=13, mult=5 |
2.8% | -49.3% | 0.29 | 0.06 | 2.0x | 58 | 56% |
| ADX / DI 방향성 period=20, threshold=28 |
1.3% | -21.0% | 0.26 | 0.06 | 1.4x | 74 | 11% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.0% | -74.2% | -0.02 | -0.01 | 0.8x | 205 | 56% |
| MACD fast=24, slow=58, signal=17 |
-1.7% | -77.1% | -0.09 | -0.02 | 0.6x | 247 | 52% |
| Buy and hold | 5.7% | -51.5% | 0.41 | 0.11 | 4.0x | 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 60-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 60-day middle average