Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Temenos AG backtest
10 trend-following strategies were compared on the full daily history of Temenos AG. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.2%, MDD -51.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.3%, drawdown -94.2%).
Sharpe leader (same as main): Supertrend — CAGR 19.9%, MDD -72.4%, Sharpe 0.75, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.6%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR 16.2%, MDD -51.3%, exposure 42%).
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=21, mult=3.1 |
19.9% | -72.4% | 0.75 | 0.28 | 98.6x | 140 | 57% |
| SMA 크로스오버 fast=21, slow=76 |
17.7% | -76.0% | 0.69 | 0.23 | 61.1x | 84 | 57% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
16.2% | -51.3% | 0.69 | 0.32 | 44.1x | 120 | 42% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=13, mult=2.2 |
14.9% | -57.9% | 0.66 | 0.26 | 33.4x | 110 | 42% |
| Donchian 채널 돌파 entryN=45, exitN=23 |
14.9% | -73.8% | 0.64 | 0.20 | 33.4x | 92 | 45% |
| ROC 모멘텀 n=70, threshold=0.04 |
12.8% | -73.1% | 0.55 | 0.17 | 20.8x | 260 | 51% |
| EMA 크로스오버 fast=7, slow=105 |
11.9% | -81.5% | 0.53 | 0.15 | 17.1x | 112 | 57% |
| ADX / DI 방향성 period=31, threshold=8 |
9.6% | -76.5% | 0.46 | 0.13 | 10.2x | 282 | 53% |
| MACD fast=29, slow=51, signal=22 |
5.8% | -70.0% | 0.34 | 0.08 | 4.1x | 194 | 53% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.5% | -82.6% | 0.21 | 0.02 | 1.5x | 404 | 55% |
| Buy and hold | 7.3% | -94.2% | 0.39 | 0.08 | 5.9x | 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) — 21-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)