Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Swiss Life Holding AG backtest
10 trend-following strategies were compared on the full daily history of Swiss Life Holding AG. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.6%, MDD -34.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.0%, drawdown -94.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.8%, MDD -40.8%, Sharpe 0.73, 64% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 15.0%, MDD -50.2%, exposure 80%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 53.7%p (CAGR 7.6%, MDD -34.2%, exposure 36%).
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=70, exitN=73 |
13.8% | -40.8% | 0.73 | 0.34 | 59.0x | 43 | 64% |
| EMA 크로스오버 fast=39, slow=80 |
13.5% | -38.4% | 0.71 | 0.35 | 53.4x | 75 | 66% |
| ROC 모멘텀 n=46, threshold=-0.07 |
15.0% | -50.2% | 0.69 | 0.30 | 82.3x | 183 | 80% |
| SMA 크로스오버 fast=23, slow=153 |
12.2% | -37.6% | 0.67 | 0.33 | 37.7x | 65 | 64% |
| Supertrend period=8, mult=3.4 |
12.8% | -48.6% | 0.64 | 0.26 | 44.5x | 188 | 57% |
| Parabolic SAR step=0.01, maxStep=0.04 |
11.4% | -53.5% | 0.58 | 0.21 | 29.7x | 274 | 57% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=10, mult=1.3 |
9.7% | -53.4% | 0.56 | 0.18 | 18.3x | 204 | 56% |
| 볼린저 밴드 돌파 n=43, k=0.5 |
9.8% | -41.7% | 0.54 | 0.24 | 19.1x | 310 | 55% |
| ADX / DI 방향성 period=41, threshold=12 |
7.6% | -34.2% | 0.49 | 0.22 | 10.2x | 174 | 36% |
| MACD fast=11, slow=36, signal=22 |
4.6% | -75.2% | 0.30 | 0.06 | 4.2x | 404 | 50% |
| Buy and hold | 6.0% | -94.5% | 0.34 | 0.06 | 6.3x | 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 70 days
- Sell — Sell when price breaks below the lowest low of the last 73 days