Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Sika AG backtest
10 trend-following strategies were compared on the full daily history of Sika 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 13.7%, MDD -41.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.8%, drawdown -73.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.7%, MDD -41.3%, Sharpe 0.71, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 32.3%p (CAGR 13.7%, MDD -41.3%, exposure 65%).
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=58, slow=152 |
13.7% | -41.3% | 0.71 | 0.33 | 57.4x | 45 | 65% |
| Donchian 채널 돌파 entryN=103, exitN=75 |
11.1% | -42.9% | 0.63 | 0.26 | 27.3x | 39 | 58% |
| ROC 모멘텀 n=129, threshold=-0.02 |
11.9% | -43.8% | 0.62 | 0.27 | 34.5x | 167 | 69% |
| EMA 크로스오버 fast=45, slow=110 |
11.6% | -50.5% | 0.62 | 0.23 | 31.3x | 51 | 65% |
| Supertrend period=10, mult=4.6 |
8.4% | -54.9% | 0.51 | 0.15 | 12.7x | 105 | 60% |
| 볼린저 밴드 돌파 n=52, k=2.6 |
3.0% | -43.1% | 0.30 | 0.07 | 2.6x | 86 | 29% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=9, mult=2.6 |
3.6% | -54.6% | 0.30 | 0.07 | 3.0x | 146 | 43% |
| Parabolic SAR step=0.02, maxStep=0.02 |
3.4% | -63.2% | 0.26 | 0.05 | 2.9x | 187 | 64% |
| ADX / DI 방향성 period=34, threshold=34 |
0.4% | -6.8% | 0.19 | 0.06 | 1.1x | 8 | 1% |
| MACD fast=18, slow=55, signal=18 |
-2.5% | -73.3% | -0.01 | -0.03 | 0.5x | 374 | 53% |
| Buy and hold | 11.8% | -73.6% | 0.52 | 0.16 | 33.3x | 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 58-day average price crosses above the 152-day average
- Sell — Sell (to cash) when the 58-day average falls below the 152-day average