Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Vontobel Holding AG backtest
10 trend-following strategies were compared on the full daily history of Vontobel Holding AG. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.3%, MDD -29.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.0%, drawdown -79.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.4%, MDD -32.7%, Sharpe 0.54, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 5.3%, MDD -29.9%, exposure 29%).
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=13, exitN=7 |
8.4% | -32.7% | 0.54 | 0.26 | 7.6x | 242 | 46% |
| Parabolic SAR step=0.01, maxStep=0.08 |
8.1% | -41.3% | 0.49 | 0.20 | 7.2x | 305 | 54% |
| 볼린저 밴드 돌파 n=21, k=1.6 |
6.4% | -37.8% | 0.46 | 0.17 | 4.8x | 258 | 39% |
| Supertrend period=8, mult=2.7 |
7.3% | -43.1% | 0.45 | 0.17 | 6.0x | 190 | 55% |
| SMA 크로스오버 fast=59, slow=221 |
7.0% | -52.8% | 0.45 | 0.13 | 5.6x | 25 | 55% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=22, mult=3 |
5.3% | -29.9% | 0.44 | 0.18 | 3.7x | 79 | 29% |
| EMA 크로스오버 fast=52, slow=204 |
5.4% | -51.2% | 0.37 | 0.11 | 3.8x | 27 | 57% |
| MACD fast=16, slow=49, signal=18 |
4.1% | -53.9% | 0.30 | 0.08 | 2.8x | 278 | 51% |
| ADX / DI 방향성 period=33, threshold=13 |
3.4% | -40.7% | 0.29 | 0.08 | 2.3x | 183 | 36% |
| ROC 모멘텀 n=147, threshold=0 |
3.5% | -47.8% | 0.27 | 0.07 | 2.4x | 177 | 57% |
| Buy and hold | 2.0% | -79.8% | 0.22 | 0.03 | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 7 days