Trend-Following Backtester · Guide · backtest 한국어
equity · CH
SGS SA backtest
10 trend-following strategies were compared on the full daily history of SGS SA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.6%, MDD -46.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.6%, drawdown -77.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -46.1%, Sharpe 0.40, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 30.9%p (CAGR 6.6%, MDD -46.1%, exposure 59%).
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=29, slow=129 |
6.6% | -46.1% | 0.40 | 0.14 | 7.5x | 65 | 59% |
| EMA 크로스오버 fast=51, slow=63 |
5.5% | -40.3% | 0.35 | 0.14 | 5.4x | 75 | 60% |
| Supertrend period=29, mult=5 |
5.5% | -42.7% | 0.35 | 0.13 | 5.3x | 85 | 63% |
| Donchian 채널 돌파 entryN=14, exitN=75 |
5.8% | -61.2% | 0.34 | 0.09 | 5.9x | 87 | 84% |
| ADX / DI 방향성 period=26, threshold=29 |
1.3% | -11.7% | 0.27 | 0.12 | 1.5x | 26 | 4% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
2.8% | -40.6% | 0.26 | 0.07 | 2.4x | 86 | 28% |
| ROC 모멘텀 n=142, threshold=-0.03 |
3.3% | -54.5% | 0.25 | 0.06 | 2.8x | 219 | 67% |
| MACD fast=33, slow=97, signal=54 |
2.7% | -61.2% | 0.23 | 0.04 | 2.3x | 146 | 53% |
| Parabolic SAR step=0.005, maxStep=0.02 |
1.4% | -63.9% | 0.17 | 0.02 | 1.5x | 166 | 60% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=27, mult=4 |
0.9% | -34.4% | 0.13 | 0.03 | 1.3x | 50 | 14% |
| Buy and hold | 6.6% | -77.0% | 0.36 | 0.09 | 7.5x | 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 29-day average price crosses above the 129-day average
- Sell — Sell (to cash) when the 29-day average falls below the 129-day average