Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Straumann Holding AG backtest
10 trend-following strategies were compared on the full daily history of Straumann Holding AG. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.4%, MDD -44.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.6%, drawdown -73.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.1%, MDD -28.3%, Sharpe 0.83, 15% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 16.4%, MDD -44.4%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.5%p lower than buy and hold, while drawdown improves by 45.2%p (CAGR 16.4%, MDD -44.4%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=49, threshold=18 |
11.1% | -28.3% | 0.83 | 0.39 | 19.7x | 30 | 15% |
| Keltner 채널 돌파 emaPeriod=129, atrPeriod=11, mult=1.6 |
16.4% | -44.4% | 0.79 | 0.37 | 71.6x | 82 | 54% |
| EMA 크로스오버 fast=17, slow=137 |
13.7% | -56.3% | 0.65 | 0.24 | 36.9x | 64 | 61% |
| SMA 크로스오버 fast=8, slow=205 |
13.9% | -52.4% | 0.65 | 0.26 | 39.0x | 59 | 61% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
7.1% | -25.3% | 0.64 | 0.28 | 7.0x | 14 | 9% |
| Donchian 채널 돌파 entryN=110, exitN=24 |
11.0% | -61.0% | 0.64 | 0.18 | 19.0x | 68 | 37% |
| Supertrend period=25, mult=4.8 |
11.6% | -55.4% | 0.57 | 0.21 | 22.0x | 82 | 62% |
| ROC 모멘텀 n=88, threshold=0 |
11.0% | -57.3% | 0.55 | 0.19 | 19.0x | 241 | 61% |
| MACD fast=33, slow=57, signal=11 |
7.9% | -43.6% | 0.43 | 0.18 | 8.5x | 280 | 53% |
| Parabolic SAR step=0.015, maxStep=0.18 |
5.0% | -75.9% | 0.32 | 0.07 | 4.0x | 482 | 55% |
| Buy and hold | 14.6% | -73.4% | 0.56 | 0.20 | 46.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 49-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)