Trend-Following Backtester · Guide · backtest 한국어
equity · CH
VZ Holding AG backtest
10 trend-following strategies were compared on the full daily history of VZ Holding AG. 9 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 6.9%, MDD -29.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.3%, drawdown -92.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -37.4%, Sharpe 0.73, 60% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 55.1%p (CAGR 6.9%, MDD -29.1%, exposure 36%).
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=86, exitN=71 |
13.3% | -37.4% | 0.73 | 0.36 | 11.5x | 21 | 60% |
| EMA 크로스오버 fast=32, slow=121 |
13.3% | -40.5% | 0.71 | 0.33 | 11.5x | 29 | 63% |
| SMA 크로스오버 fast=21, slow=163 |
11.9% | -40.5% | 0.65 | 0.29 | 9.0x | 39 | 62% |
| Supertrend period=29, mult=3.1 |
10.7% | -34.6% | 0.59 | 0.31 | 7.3x | 108 | 58% |
| ROC 모멘텀 n=138, threshold=-0.07 |
10.7% | -50.6% | 0.57 | 0.21 | 7.2x | 97 | 75% |
| Parabolic SAR step=0.005, maxStep=0.08 |
8.2% | -42.8% | 0.50 | 0.19 | 4.7x | 152 | 51% |
| ADX / DI 방향성 period=46, threshold=10 |
6.9% | -29.1% | 0.49 | 0.24 | 3.7x | 127 | 36% |
| 볼린저 밴드 돌파 n=27, k=1.6 |
6.1% | -39.5% | 0.43 | 0.15 | 3.2x | 174 | 42% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=1.6 |
4.4% | -50.8% | 0.33 | 0.09 | 2.3x | 120 | 45% |
| MACD fast=21, slow=36, signal=18 |
2.0% | -64.1% | 0.20 | 0.03 | 1.5x | 228 | 52% |
| Buy and hold | 4.3% | -92.5% | 0.34 | 0.05 | 2.3x | 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 86 days
- Sell — Sell when price breaks below the lowest low of the last 71 days