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. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.5%, MDD -53.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.2%, drawdown -94.1%).
Sharpe leader (same as main): Supertrend — CAGR 6.5%, MDD -53.2%, Sharpe 0.44, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 40.9%p (CAGR 6.5%, MDD -53.2%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=6, mult=4.2 |
6.5% | -53.2% | 0.44 | 0.12 | 7.2x | 138 | 55% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
2.0% | -11.4% | 0.44 | 0.17 | 1.9x | 8 | 4% |
| EMA 크로스오버 fast=54, slow=88 |
4.6% | -60.8% | 0.35 | 0.08 | 4.1x | 61 | 58% |
| ADX / DI 방향성 period=26, threshold=34 |
1.4% | -14.3% | 0.33 | 0.09 | 1.5x | 16 | 4% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=27, mult=3 |
2.9% | -36.9% | 0.33 | 0.08 | 2.5x | 106 | 21% |
| MACD fast=16, slow=36, signal=23 |
4.5% | -58.3% | 0.32 | 0.08 | 4.0x | 358 | 51% |
| Donchian 채널 돌파 entryN=29, exitN=22 |
4.0% | -47.7% | 0.31 | 0.08 | 3.4x | 150 | 53% |
| SMA 크로스오버 fast=19, slow=168 |
3.4% | -61.2% | 0.29 | 0.06 | 2.9x | 77 | 56% |
| ROC 모멘텀 n=41, threshold=-0.09 |
3.6% | -82.1% | 0.27 | 0.04 | 3.1x | 223 | 87% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.1% | -74.6% | 0.20 | 0.03 | 1.9x | 265 | 55% |
| Buy and hold | 4.2% | -94.1% | 0.29 | 0.04 | 3.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 6-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)