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. 6 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 1.8%, MDD -13.3%).

Data 1998-07-17 ~ 2026-07-31daily bars 7,126 (28.0 years)Costs 0.5%Venue SIXMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR 1.5%, drawdown -78.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -36.0%, Sharpe 0.63, 36% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 1.8%, MDD -13.3%, exposure 5%).

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
Donchian 채널 돌파
entryN=118, exitN=41
9.6%-36.0%0.630.2713.1x3436%
SMA 크로스오버
fast=59, slow=201
9.2%-50.2%0.540.1811.8x2949%
볼린저 밴드 돌파
n=125, k=1.7
7.9%-31.1%0.530.258.4x5039%
EMA 크로스오버
fast=42, slow=125
7.5%-47.1%0.460.167.5x3951%
ROC 모멘텀
n=124, threshold=-0.01
6.6%-49.2%0.410.136.0x17853%
ADX / DI 방향성
period=30, threshold=26
1.8%-13.3%0.310.141.7x185%
Keltner 채널 돌파
emaPeriod=55, atrPeriod=35, mult=2.8
1.5%-45.6%0.170.031.5x10032%
Supertrend
period=25, mult=4.7
0.1%-69.6%0.110.001.0x10053%
Parabolic SAR
step=0.005, maxStep=0.26
-3.3%-80.8%-0.05-0.040.4x23652%
MACD
fast=17, slow=36, signal=13
-7.2%-93.5%-0.22-0.080.1x39251%
Buy and hold1.5%-78.9%0.210.021.5x1100%
1x 10x 1999 2003 2007 2011 2015 2019 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -39% -59% -79% 1999 2003 2007 2011 2015 2019 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -36.0% (2000-09-28 → 2003-09-30), recovered after 2,272 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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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