Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Swiss Re AG backtest
10 trend-following strategies were compared on the full daily history of Swiss Re AG. 5 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 4.7%, MDD -35.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.1%, drawdown -94.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.7%, MDD -35.8%, Sharpe 0.40, 34% exposure.
CAGR reference leader: Supertrend — CAGR 4.9%, MDD -57.4%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 58.3%p (CAGR 4.7%, MDD -35.8%, exposure 34%).
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=39, k=2 |
4.7% | -35.8% | 0.40 | 0.13 | 4.2x | 153 | 34% |
| Supertrend period=19, mult=5 |
4.9% | -57.4% | 0.35 | 0.08 | 4.4x | 113 | 57% |
| Donchian 채널 돌파 entryN=28, exitN=17 |
4.3% | -39.4% | 0.34 | 0.11 | 3.7x | 163 | 48% |
| EMA 크로스오버 fast=51, slow=92 |
4.4% | -61.5% | 0.34 | 0.07 | 3.9x | 63 | 58% |
| ADX / DI 방향성 period=25, threshold=36 |
1.3% | -12.9% | 0.34 | 0.10 | 1.5x | 14 | 4% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=18, mult=2.9 |
3.0% | -37.5% | 0.33 | 0.08 | 2.6x | 99 | 16% |
| MACD fast=22, slow=32, signal=19 |
4.3% | -59.3% | 0.31 | 0.07 | 3.8x | 343 | 51% |
| SMA 크로스오버 fast=23, slow=167 |
2.6% | -65.4% | 0.23 | 0.04 | 2.2x | 67 | 56% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.2% | -74.6% | 0.21 | 0.03 | 2.0x | 261 | 55% |
| ROC 모멘텀 n=118, threshold=0.07 |
0.8% | -64.1% | 0.12 | 0.01 | 1.3x | 272 | 39% |
| Buy and hold | 4.1% | -94.1% | 0.29 | 0.04 | 3.6x | 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 39-day average (2× volatility)
- Sell — Sell when the close falls back to the 39-day middle average