Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Swiss Prime Site AG backtest
10 trend-following strategies were compared on the full daily history of Swiss Prime Site AG. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.3%, MDD -17.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 2.4%, drawdown -44.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.3%, MDD -17.3%, Sharpe 0.38, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.3%, MDD -29.0%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 27.6%p (CAGR 2.3%, MDD -17.3%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=42, k=2.8 |
2.3% | -17.3% | 0.38 | 0.13 | 1.8x | 48 | 17% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=9, mult=3.1 |
0.4% | -1.8% | 0.32 | 0.21 | 1.1x | 4 | 1% |
| ADX / DI 방향성 period=32, threshold=37 |
0.7% | -9.9% | 0.29 | 0.07 | 1.2x | 6 | 3% |
| SMA 크로스오버 fast=16, slow=94 |
2.3% | -29.0% | 0.26 | 0.08 | 1.8x | 88 | 55% |
| EMA 크로스오버 fast=34, slow=48 |
1.4% | -32.7% | 0.18 | 0.04 | 1.5x | 90 | 55% |
| Donchian 채널 돌파 entryN=85, exitN=29 |
1.0% | -29.6% | 0.16 | 0.04 | 1.3x | 76 | 37% |
| Supertrend period=24, mult=4.8 |
1.0% | -40.2% | 0.14 | 0.03 | 1.3x | 76 | 57% |
| ROC 모멘텀 n=8, threshold=0.14 |
0.1% | -2.5% | 0.10 | 0.03 | 1.0x | 2 | 0% |
| MACD fast=31, slow=45, signal=35 |
-0.2% | -36.9% | 0.04 | -0.01 | 0.9x | 182 | 52% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-0.6% | -45.0% | 0.00 | -0.01 | 0.8x | 208 | 53% |
| Buy and hold | 2.4% | -44.9% | 0.22 | 0.05 | 1.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 42-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 42-day middle average