Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Swatch Group Ltd. Registered backtest
10 trend-following strategies were compared on the full daily history of Swatch Group Ltd. Registered. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.9%, MDD -32.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.3%, drawdown -76.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -40.0%, Sharpe 0.51, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 3.9%, MDD -32.5%, exposure 23%).
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=59, slow=200 |
8.2% | -40.0% | 0.51 | 0.21 | 9.3x | 28 | 50% |
| EMA 크로스오버 fast=34, slow=130 |
7.1% | -47.9% | 0.46 | 0.15 | 6.8x | 46 | 52% |
| Donchian 채널 돌파 entryN=108, exitN=74 |
6.3% | -47.7% | 0.44 | 0.13 | 5.7x | 36 | 45% |
| ROC 모멘텀 n=117, threshold=0.03 |
6.3% | -37.0% | 0.43 | 0.17 | 5.6x | 200 | 47% |
| 볼린저 밴드 돌파 n=75, k=2.6 |
3.9% | -32.5% | 0.37 | 0.12 | 2.9x | 42 | 23% |
| Keltner 채널 돌파 emaPeriod=97, atrPeriod=8, mult=4 |
4.0% | -40.7% | 0.35 | 0.10 | 3.0x | 54 | 32% |
| ADX / DI 방향성 period=16, threshold=46 |
0.8% | -8.4% | 0.30 | 0.10 | 1.3x | 8 | 1% |
| Supertrend period=8, mult=4 |
1.2% | -48.9% | 0.15 | 0.02 | 1.4x | 133 | 50% |
| MACD fast=10, slow=20, signal=15 |
-5.4% | -87.8% | -0.15 | -0.06 | 0.2x | 511 | 50% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-5.5% | -87.6% | -0.17 | -0.06 | 0.2x | 393 | 52% |
| Buy and hold | 1.3% | -76.2% | 0.19 | 0.02 | 1.4x | 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 59-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 59-day average falls below the 200-day average