Trend-Following Backtester · Guide · backtest 한국어
equity · US
On Holding AG backtest
10 trend-following strategies were compared on the full daily history of On Holding AG. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.9%, MDD -22.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.4%, drawdown -68.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.0%, MDD -40.8%, Sharpe 0.61, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.3%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 9.9%, MDD -22.8%, exposure 9%).
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=43, slow=306 |
17.0% | -40.8% | 0.61 | 0.42 | 2.2x | 2 | 49% |
| EMA 크로스오버 fast=6, slow=110 |
14.0% | -32.0% | 0.57 | 0.44 | 1.9x | 14 | 43% |
| 볼린저 밴드 돌파 n=18, k=2.8 |
9.9% | -22.8% | 0.55 | 0.44 | 1.6x | 10 | 9% |
| Donchian 채널 돌파 entryN=103, exitN=47 |
11.6% | -32.9% | 0.52 | 0.35 | 1.7x | 4 | 34% |
| ROC 모멘텀 n=129, threshold=0.09 |
10.1% | -39.3% | 0.47 | 0.26 | 1.6x | 28 | 33% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=17, mult=1.3 |
6.1% | -35.5% | 0.35 | 0.17 | 1.3x | 45 | 29% |
| Supertrend period=14, mult=5 |
3.5% | -52.6% | 0.28 | 0.07 | 1.2x | 14 | 57% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.5% | -50.0% | 0.20 | 0.01 | 1.0x | 44 | 44% |
| MACD fast=17, slow=49, signal=12 |
-0.7% | -51.5% | 0.15 | -0.01 | 1.0x | 61 | 46% |
| ADX / DI 방향성 period=9, threshold=29 |
-0.1% | -34.6% | 0.11 | -0.00 | 1.0x | 55 | 19% |
| Buy and hold | -3.4% | -68.9% | 0.22 | -0.05 | 0.8x | 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 43-day average price crosses above the 306-day average
- Sell — Sell (to cash) when the 43-day average falls below the 306-day average