Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Sulzer AG backtest
10 trend-following strategies were compared on the full daily history of Sulzer AG. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.9%, MDD -30.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.6%, drawdown -84.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -60.6%, Sharpe 0.46, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 4.9%, MDD -30.9%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=235 |
8.5% | -60.6% | 0.46 | 0.14 | 12.8x | 36 | 58% |
| Donchian 채널 돌파 entryN=102, exitN=6 |
4.9% | -30.9% | 0.46 | 0.16 | 4.5x | 122 | 19% |
| Parabolic SAR step=0.005, maxStep=0.28 |
7.9% | -47.7% | 0.45 | 0.17 | 10.9x | 237 | 55% |
| EMA 크로스오버 fast=46, slow=132 |
7.5% | -58.2% | 0.43 | 0.13 | 9.5x | 44 | 58% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=4 |
3.0% | -26.4% | 0.41 | 0.12 | 2.6x | 34 | 7% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
5.5% | -61.5% | 0.39 | 0.09 | 5.3x | 128 | 38% |
| Supertrend period=21, mult=3.8 |
5.8% | -67.8% | 0.36 | 0.09 | 5.8x | 161 | 57% |
| MACD fast=25, slow=46, signal=28 |
4.0% | -73.3% | 0.28 | 0.05 | 3.4x | 227 | 52% |
| ROC 모멘텀 n=135, threshold=0.02 |
3.4% | -69.3% | 0.26 | 0.05 | 2.9x | 210 | 57% |
| ADX / DI 방향성 period=15, threshold=19 |
2.6% | -57.7% | 0.23 | 0.05 | 2.2x | 378 | 37% |
| Buy and hold | 3.6% | -84.9% | 0.28 | 0.04 | 3.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 28-day average price crosses above the 235-day average
- Sell — Sell (to cash) when the 28-day average falls below the 235-day average