Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Swissquote Group Holding Ltd. backtest
10 trend-following strategies were compared on the full daily history of Swissquote Group Holding Ltd.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.6%, MDD -34.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.6%, drawdown -94.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 25.2%, MDD -51.0%, Sharpe 0.93, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 17.6%, MDD -34.6%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=30, slow=80 |
25.2% | -51.0% | 0.93 | 0.49 | 369.2x | 50 | 55% |
| SMA 크로스오버 fast=10, slow=233 |
23.9% | -44.5% | 0.92 | 0.54 | 283.7x | 38 | 54% |
| ROC 모멘텀 n=147, threshold=0.14 |
21.2% | -55.2% | 0.89 | 0.38 | 159.3x | 134 | 45% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=23, mult=3.7 |
17.6% | -34.6% | 0.87 | 0.51 | 70.7x | 54 | 33% |
| 볼린저 밴드 돌파 n=75, k=1.1 |
19.7% | -53.0% | 0.83 | 0.37 | 114.4x | 102 | 46% |
| Donchian 채널 돌파 entryN=75, exitN=79 |
21.6% | -52.9% | 0.83 | 0.41 | 171.1x | 32 | 57% |
| ADX / DI 방향성 period=35, threshold=13 |
14.8% | -38.6% | 0.77 | 0.38 | 37.8x | 156 | 31% |
| Supertrend period=6, mult=4.9 |
16.4% | -74.2% | 0.67 | 0.22 | 54.8x | 70 | 49% |
| MACD fast=17, slow=61, signal=34 |
11.7% | -79.4% | 0.50 | 0.15 | 18.5x | 190 | 52% |
| Parabolic SAR step=0.015, maxStep=0.18 |
9.2% | -80.5% | 0.43 | 0.11 | 10.2x | 432 | 53% |
| Buy and hold | 10.6% | -94.8% | 0.44 | 0.11 | 14.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 80-day EMA
- Sell — Sell when the 30-day EMA falls below the 80-day EMA