Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Tecan Group AG backtest
10 trend-following strategies were compared on the full daily history of Tecan Group AG. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.4%, MDD -33.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.3%, drawdown -87.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.2%, MDD -40.4%, Sharpe 0.80, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 46.9%p (CAGR 15.4%, MDD -33.8%, exposure 57%).
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=61, slow=150 |
18.2% | -40.4% | 0.80 | 0.45 | 195.1x | 41 | 60% |
| EMA 크로스오버 fast=51, slow=113 |
17.3% | -37.9% | 0.76 | 0.46 | 151.4x | 41 | 62% |
| Donchian 채널 돌파 entryN=81, exitN=66 |
15.4% | -33.8% | 0.72 | 0.45 | 90.3x | 43 | 57% |
| 볼린저 밴드 돌파 n=35, k=2.8 |
7.6% | -35.9% | 0.61 | 0.21 | 10.0x | 69 | 19% |
| ROC 모멘텀 n=133, threshold=0 |
12.7% | -52.6% | 0.60 | 0.24 | 43.0x | 217 | 63% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=13, mult=4 |
9.2% | -47.3% | 0.58 | 0.19 | 15.9x | 73 | 32% |
| ADX / DI 방향성 period=50, threshold=17 |
7.9% | -40.0% | 0.53 | 0.20 | 10.9x | 65 | 21% |
| Parabolic SAR step=0.005, maxStep=0.2 |
8.9% | -76.2% | 0.46 | 0.12 | 14.6x | 249 | 55% |
| Supertrend period=20, mult=3.7 |
8.8% | -71.8% | 0.45 | 0.12 | 14.2x | 171 | 59% |
| MACD fast=29, slow=89, signal=11 |
5.0% | -72.2% | 0.32 | 0.07 | 4.6x | 299 | 51% |
| Buy and hold | 12.3% | -87.3% | 0.50 | 0.14 | 38.6x | 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 61-day average price crosses above the 150-day average
- Sell — Sell (to cash) when the 61-day average falls below the 150-day average