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. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.5%, MDD -24.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.0%, drawdown -51.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -24.9%, Sharpe 0.56, 49% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.2%, MDD -53.0%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 26.6%p (CAGR 5.5%, MDD -24.9%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=63, exitN=41 |
5.5% | -24.9% | 0.56 | 0.22 | 3.9x | 49 | 49% |
| 볼린저 밴드 돌파 n=63, k=2.6 |
4.2% | -29.6% | 0.53 | 0.14 | 2.8x | 55 | 28% |
| EMA 크로스오버 fast=22, slow=196 |
5.9% | -34.8% | 0.53 | 0.17 | 4.3x | 39 | 61% |
| SMA 크로스오버 fast=73, slow=174 |
6.1% | -33.5% | 0.52 | 0.18 | 4.5x | 33 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=4 |
3.2% | -16.6% | 0.50 | 0.19 | 2.3x | 33 | 18% |
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.1 |
6.2% | -53.0% | 0.44 | 0.12 | 4.6x | 7 | 100% |
| Supertrend period=17, mult=4.4 |
3.4% | -52.9% | 0.33 | 0.06 | 2.3x | 71 | 61% |
| ADX / DI 방향성 period=24, threshold=24 |
1.8% | -22.1% | 0.32 | 0.08 | 1.6x | 75 | 13% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.8% | -74.2% | -0.01 | -0.01 | 0.8x | 207 | 56% |
| MACD fast=14, slow=44, signal=17 |
-3.7% | -87.7% | -0.28 | -0.04 | 0.4x | 335 | 51% |
| Buy and hold | 6.0% | -51.5% | 0.42 | 0.12 | 4.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 63 days
- Sell — Sell when price breaks below the lowest low of the last 41 days