Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Zurich Insurance Group Ltd backtest
10 trend-following strategies were compared on the full daily history of Zurich Insurance Group Ltd. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.4%, MDD -8.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.3%, drawdown -91.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.0%, MDD -39.3%, Sharpe 0.27, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 52.5%p (CAGR 0.4%, MDD -8.0%, exposure 1%).
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=39, slow=193 |
3.0% | -39.3% | 0.27 | 0.08 | 2.3x | 41 | 56% |
| ADX / DI 방향성 period=25, threshold=41 |
0.5% | -9.0% | 0.24 | 0.05 | 1.1x | 2 | 0% |
| Donchian 채널 돌파 entryN=104, exitN=76 |
2.2% | -36.5% | 0.23 | 0.06 | 1.9x | 31 | 52% |
| ROC 모멘텀 n=126, threshold=-0.09 |
1.7% | -69.3% | 0.18 | 0.02 | 1.6x | 145 | 77% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=25, mult=2.8 |
0.4% | -8.0% | 0.17 | 0.05 | 1.1x | 8 | 1% |
| EMA 크로스오버 fast=54, slow=79 |
1.4% | -46.4% | 0.17 | 0.03 | 1.5x | 53 | 57% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
0.4% | -12.5% | 0.13 | 0.03 | 1.1x | 6 | 3% |
| Supertrend period=17, mult=4.5 |
-0.1% | -55.6% | 0.09 | -0.00 | 1.0x | 126 | 55% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.6% | -62.4% | 0.06 | -0.01 | 0.8x | 240 | 54% |
| MACD fast=20, slow=25, signal=22 |
-2.2% | -66.5% | -0.01 | -0.03 | 0.5x | 342 | 50% |
| Buy and hold | -0.3% | -91.8% | 0.15 | -0.00 | 0.9x | 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 39-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 39-day average falls below the 193-day average