Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Bachem Holding AG Class B backtest
10 trend-following strategies were compared on the full daily history of Bachem Holding AG Class B. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.8%, MDD -60.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.0%, drawdown -83.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.4%, MDD -68.7%, Sharpe 0.44, 51% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.5%, MDD -61.7%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 14.6%p (CAGR 6.8%, MDD -60.3%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=63, slow=282 |
7.4% | -68.7% | 0.44 | 0.11 | 7.4x | 23 | 51% |
| Donchian 채널 돌파 entryN=112, exitN=50 |
6.8% | -60.3% | 0.43 | 0.11 | 6.4x | 37 | 42% |
| SMA 크로스오버 fast=17, slow=126 |
7.5% | -61.7% | 0.42 | 0.12 | 7.5x | 71 | 53% |
| Supertrend period=13, mult=4.5 |
5.3% | -77.7% | 0.33 | 0.07 | 4.2x | 78 | 56% |
| ADX / DI 방향성 period=25, threshold=34 |
1.2% | -19.5% | 0.24 | 0.06 | 1.4x | 18 | 3% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=27, mult=1.9 |
2.7% | -80.3% | 0.23 | 0.03 | 2.1x | 129 | 36% |
| ROC 모멘텀 n=138, threshold=0.12 |
2.2% | -65.7% | 0.21 | 0.03 | 1.9x | 179 | 31% |
| 볼린저 밴드 돌파 n=50, k=1.7 |
0.5% | -84.3% | 0.12 | 0.01 | 1.2x | 150 | 35% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-2.9% | -92.0% | -0.01 | -0.03 | 0.4x | 478 | 51% |
| MACD fast=15, slow=28, signal=13 |
-7.1% | -94.0% | -0.20 | -0.08 | 0.1x | 449 | 49% |
| Buy and hold | 5.0% | -83.4% | 0.31 | 0.06 | 3.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 63-day EMA crosses above the 282-day EMA
- Sell — Sell when the 63-day EMA falls below the 282-day EMA