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. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.0%, MDD -49.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.8%, drawdown -79.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.7%, MDD -26.5%, Sharpe 0.54, 19% exposure.
CAGR reference leader: Supertrend — CAGR 7.0%, MDD -49.5%, exposure 57%.
Return/drawdown alternative: Supertrend — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 52.9%p (CAGR 7.0%, MDD -49.5%, exposure 57%).
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=35, k=3 |
5.7% | -26.5% | 0.54 | 0.21 | 3.3x | 61 | 19% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=16, mult=3.9 |
4.6% | -27.7% | 0.49 | 0.17 | 2.7x | 32 | 14% |
| Supertrend period=20, mult=3.5 |
7.0% | -49.5% | 0.45 | 0.14 | 4.4x | 85 | 57% |
| Donchian 채널 돌파 entryN=50, exitN=75 |
6.7% | -63.1% | 0.41 | 0.11 | 4.1x | 31 | 66% |
| ADX / DI 방향성 period=10, threshold=29 |
3.9% | -44.9% | 0.35 | 0.09 | 2.3x | 247 | 24% |
| EMA 크로스오버 fast=25, slow=113 |
4.2% | -62.4% | 0.31 | 0.07 | 2.5x | 51 | 55% |
| SMA 크로스오버 fast=57, slow=132 |
3.8% | -65.3% | 0.28 | 0.06 | 2.2x | 43 | 54% |
| Parabolic SAR step=0.015, maxStep=0.06 |
2.9% | -54.0% | 0.24 | 0.05 | 1.9x | 281 | 55% |
| ROC 모멘텀 n=77, threshold=0.11 |
2.1% | -50.4% | 0.21 | 0.04 | 1.6x | 169 | 27% |
| MACD fast=16, slow=54, signal=19 |
-0.3% | -74.9% | 0.08 | -0.00 | 0.9x | 245 | 50% |
| Buy and hold | 7.8% | -79.4% | 0.41 | 0.10 | 5.1x | 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 35-day average (3× volatility)
- Sell — Sell when the close falls back to the 35-day middle average