Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Ypsomed Holding AG backtest
10 trend-following strategies were compared on the full daily history of Ypsomed Holding AG. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.5%, MDD -39.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.5%, drawdown -79.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.2%, MDD -30.9%, Sharpe 0.58, 19% exposure.
CAGR reference leader: Supertrend — CAGR 7.5%, MDD -39.9%, exposure 56%.
Return/drawdown alternative: Supertrend — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 48.5%p (CAGR 7.5%, MDD -39.9%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=34, k=3 |
6.2% | -30.9% | 0.58 | 0.20 | 3.8x | 62 | 19% |
| Supertrend period=16, mult=3.2 |
7.5% | -39.9% | 0.47 | 0.19 | 5.0x | 96 | 56% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=11, mult=2.5 |
4.9% | -40.7% | 0.46 | 0.12 | 2.8x | 72 | 18% |
| Donchian 채널 돌파 entryN=44, exitN=33 |
6.5% | -47.4% | 0.44 | 0.14 | 4.0x | 56 | 51% |
| ADX / DI 방향성 period=32, threshold=37 |
1.5% | -9.4% | 0.40 | 0.16 | 1.4x | 10 | 2% |
| EMA 크로스오버 fast=18, slow=133 |
4.9% | -59.9% | 0.34 | 0.08 | 2.9x | 51 | 55% |
| SMA 크로스오버 fast=16, slow=145 |
3.8% | -58.7% | 0.29 | 0.06 | 2.3x | 51 | 55% |
| Parabolic SAR step=0.01, maxStep=0.1 |
2.4% | -61.0% | 0.22 | 0.04 | 1.7x | 264 | 53% |
| ROC 모멘텀 n=82, threshold=0.09 |
2.0% | -57.9% | 0.21 | 0.04 | 1.6x | 176 | 32% |
| MACD fast=19, slow=59, signal=18 |
-0.3% | -76.2% | 0.08 | -0.00 | 0.9x | 224 | 50% |
| Buy and hold | 7.5% | -79.4% | 0.40 | 0.09 | 4.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 34-day average (3× volatility)
- Sell — Sell when the close falls back to the 34-day middle average