Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Sonova Holding AG backtest
10 trend-following strategies were compared on the full daily history of Sonova Holding AG. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.9%, MDD -27.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.3%, drawdown -78.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.4%, MDD -38.7%, Sharpe 0.61, 54% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 39.5%p (CAGR 8.9%, MDD -27.0%, exposure 44%).
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=96, exitN=69 |
12.4% | -38.7% | 0.61 | 0.32 | 18.7x | 31 | 54% |
| SMA 크로스오버 fast=44, slow=109 |
10.2% | -44.9% | 0.58 | 0.23 | 11.4x | 57 | 57% |
| ROC 모멘텀 n=121, threshold=0.08 |
8.9% | -27.0% | 0.58 | 0.33 | 8.5x | 159 | 44% |
| EMA 크로스오버 fast=55, slow=106 |
10.4% | -45.0% | 0.52 | 0.23 | 11.8x | 43 | 61% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=22, mult=2.6 |
8.3% | -29.4% | 0.48 | 0.28 | 7.4x | 85 | 42% |
| Supertrend period=24, mult=4.4 |
8.7% | -56.3% | 0.45 | 0.15 | 8.0x | 85 | 59% |
| 볼린저 밴드 돌파 n=57, k=1.8 |
7.3% | -37.6% | 0.44 | 0.19 | 5.9x | 95 | 41% |
| ADX / DI 방향성 period=32, threshold=17 |
4.8% | -27.5% | 0.34 | 0.17 | 3.2x | 115 | 25% |
| Parabolic SAR step=0.015, maxStep=0.1 |
0.8% | -72.6% | 0.15 | 0.01 | 1.2x | 397 | 56% |
| MACD fast=13, slow=19, signal=8 |
0.7% | -57.9% | 0.14 | 0.01 | 1.2x | 481 | 49% |
| Buy and hold | 8.3% | -78.2% | 0.40 | 0.11 | 7.4x | 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 96 days
- Sell — Sell when price breaks below the lowest low of the last 69 days