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 16.1%, MDD -48.2%).

Data 2001-06-26 ~ 2026-07-31daily bars 6,359 (25.1 years)Costs 0.5%Venue SIXMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 7.4%, drawdown -94.2%).

Sharpe leader (same as main): Supertrend — CAGR 19.2%, MDD -76.0%, Sharpe 0.73, 58% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 16.1%, MDD -48.2%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=28, mult=3.1
19.2%-76.0%0.730.2581.3x14258%
볼린저 밴드 돌파
n=46, k=1.7
16.1%-48.2%0.680.3342.0x12042%
SMA 크로스오버
fast=19, slow=77
16.1%-77.0%0.650.2142.4x8457%
Donchian 채널 돌파
entryN=43, exitN=20
14.6%-64.7%0.640.2330.5x10443%
Keltner 채널 돌파
emaPeriod=50, atrPeriod=25, mult=1.8
14.1%-67.1%0.620.2127.7x12844%
ROC 모멘텀
n=46, threshold=0.01
13.8%-71.9%0.570.1925.9x31954%
EMA 크로스오버
fast=49, slow=66
13.3%-73.9%0.570.1822.8x6058%
ADX / DI 방향성
period=32, threshold=8
10.3%-74.1%0.480.1411.7x26653%
MACD
fast=23, slow=64, signal=19
5.3%-70.0%0.320.083.7x21653%
Parabolic SAR
step=0.04, maxStep=0.08
2.4%-87.4%0.230.031.8x50555%
Buy and hold7.4%-94.2%0.390.086.0x1100%
0.1 1x 10x 100x 2002 2006 2010 2014 2018 2022 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -47% -71% -94% 2002 2006 2010 2014 2018 2022 2026 Buy and holdSupertrend
Supertrend maximum drawdown -76.0% (2019-05-28 → 2026-05-13), prior peak not yet recovered.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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