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. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.6%, MDD -27.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.8%, drawdown -84.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.7%, MDD -56.9%, Sharpe 0.47, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 4.6%, MDD -27.0%, exposure 17%).
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=42, slow=69 |
8.7% | -56.9% | 0.47 | 0.15 | 13.9x | 137 | 56% |
| Donchian 채널 돌파 entryN=107, exitN=5 |
4.6% | -27.0% | 0.45 | 0.17 | 4.1x | 132 | 17% |
| Parabolic SAR step=0.005, maxStep=0.26 |
7.9% | -47.7% | 0.45 | 0.17 | 11.0x | 238 | 55% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=27, mult=4 |
3.1% | -23.6% | 0.44 | 0.13 | 2.6x | 30 | 6% |
| EMA 크로스오버 fast=55, slow=106 |
7.5% | -64.5% | 0.43 | 0.12 | 9.8x | 53 | 59% |
| Supertrend period=26, mult=3.7 |
6.5% | -68.7% | 0.39 | 0.09 | 7.2x | 166 | 57% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
5.4% | -61.0% | 0.38 | 0.09 | 5.2x | 138 | 39% |
| ROC 모멘텀 n=113, threshold=-0.04 |
5.2% | -78.6% | 0.33 | 0.07 | 4.9x | 247 | 67% |
| ADX / DI 방향성 period=14, threshold=20 |
3.5% | -52.4% | 0.28 | 0.07 | 3.0x | 372 | 37% |
| MACD fast=19, slow=49, signal=19 |
3.9% | -61.6% | 0.28 | 0.06 | 3.4x | 322 | 52% |
| Buy and hold | 3.8% | -84.9% | 0.28 | 0.05 | 3.3x | 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 42-day average price crosses above the 69-day average
- Sell — Sell (to cash) when the 42-day average falls below the 69-day average