Trend-Following Backtester · Guide · backtest 한국어
equity · CH
SIG Group AG backtest
10 trend-following strategies were compared on the full daily history of SIG Group AG. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.5%, MDD -18.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.3%, drawdown -72.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -35.8%, Sharpe 0.53, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.9%, MDD -35.7%, exposure 65%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 2.5%, MDD -18.8%, exposure 9%).
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=61, slow=203 |
9.9% | -35.8% | 0.53 | 0.28 | 2.1x | 9 | 53% |
| Donchian 채널 돌파 entryN=12, exitN=26 |
9.9% | -35.7% | 0.52 | 0.28 | 2.1x | 37 | 65% |
| EMA 크로스오버 fast=40, slow=119 |
6.4% | -48.4% | 0.39 | 0.13 | 1.6x | 11 | 54% |
| ROC 모멘텀 n=139, threshold=0.03 |
5.9% | -42.0% | 0.38 | 0.14 | 1.6x | 35 | 48% |
| ADX / DI 방향성 period=37, threshold=21 |
2.5% | -18.8% | 0.35 | 0.13 | 1.2x | 6 | 9% |
| 볼린저 밴드 돌파 n=50, k=0.8 |
5.0% | -34.1% | 0.35 | 0.15 | 1.5x | 46 | 47% |
| Supertrend period=21, mult=4.7 |
3.3% | -43.0% | 0.26 | 0.08 | 1.3x | 24 | 59% |
| MACD fast=8, slow=26, signal=13 |
0.9% | -51.1% | 0.16 | 0.02 | 1.1x | 137 | 50% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=1.4 |
1.1% | -36.1% | 0.16 | 0.03 | 1.1x | 48 | 41% |
| Parabolic SAR step=0.04, maxStep=0.1 |
-4.3% | -49.1% | -0.09 | -0.09 | 0.7x | 191 | 53% |
| Buy and hold | 1.3% | -72.4% | 0.20 | 0.02 | 1.1x | 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 61-day average price crosses above the 203-day average
- Sell — Sell (to cash) when the 61-day average falls below the 203-day average