Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Swatch Group Ltd. Bearer backtest
10 trend-following strategies were compared on the full daily history of Swatch Group Ltd. Bearer. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -13.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.7%, drawdown -78.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -29.5%, Sharpe 0.63, 33% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.6%, MDD -51.7%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 1.7%, MDD -13.3%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=110, exitN=32 |
9.3% | -29.5% | 0.63 | 0.31 | 12.2x | 40 | 33% |
| SMA 크로스오버 fast=67, slow=199 |
9.6% | -51.7% | 0.55 | 0.18 | 13.1x | 27 | 49% |
| EMA 크로스오버 fast=45, slow=159 |
7.7% | -47.1% | 0.47 | 0.16 | 8.1x | 34 | 51% |
| ROC 모멘텀 n=117, threshold=0.04 |
7.4% | -40.9% | 0.47 | 0.18 | 7.5x | 184 | 46% |
| 볼린저 밴드 돌파 n=76, k=2.6 |
4.9% | -33.1% | 0.41 | 0.15 | 3.9x | 42 | 25% |
| ADX / DI 방향성 period=31, threshold=27 |
1.7% | -13.3% | 0.31 | 0.13 | 1.6x | 16 | 4% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=4 |
2.1% | -43.2% | 0.22 | 0.05 | 1.8x | 60 | 23% |
| Supertrend period=8, mult=3.6 |
1.0% | -55.8% | 0.15 | 0.02 | 1.3x | 147 | 50% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.5% | -80.8% | -0.06 | -0.04 | 0.4x | 239 | 52% |
| MACD fast=19, slow=26, signal=15 |
-6.4% | -91.1% | -0.18 | -0.07 | 0.2x | 379 | 51% |
| Buy and hold | 1.7% | -78.9% | 0.21 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 110 days
- Sell — Sell when price breaks below the lowest low of the last 32 days