Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Banque Cantonale Vaudoise backtest
10 trend-following strategies were compared on the full daily history of Banque Cantonale Vaudoise. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.1%, MDD -33.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -61.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -33.8%, Sharpe 0.73, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 27.5%p (CAGR 12.1%, MDD -33.8%, exposure 67%).
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=53, slow=162 |
12.1% | -33.8% | 0.73 | 0.36 | 14.9x | 33 | 67% |
| Donchian 채널 돌파 entryN=72, exitN=70 |
10.4% | -43.4% | 0.68 | 0.24 | 10.3x | 37 | 62% |
| EMA 크로스오버 fast=49, slow=128 |
10.1% | -34.6% | 0.64 | 0.29 | 9.8x | 37 | 68% |
| ROC 모멘텀 n=102, threshold=-0.05 |
10.0% | -45.2% | 0.60 | 0.22 | 9.5x | 125 | 79% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
3.8% | -11.3% | 0.59 | 0.33 | 2.4x | 6 | 5% |
| ADX / DI 방향성 period=32, threshold=29 |
3.8% | -15.0% | 0.56 | 0.26 | 2.4x | 12 | 8% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=18, mult=3.3 |
4.5% | -26.0% | 0.56 | 0.17 | 2.8x | 38 | 11% |
| Supertrend period=8, mult=2.4 |
7.3% | -43.3% | 0.50 | 0.17 | 5.3x | 185 | 61% |
| Parabolic SAR step=0.005, maxStep=0.22 |
5.9% | -62.6% | 0.43 | 0.09 | 3.9x | 199 | 59% |
| MACD fast=22, slow=48, signal=20 |
3.4% | -68.1% | 0.29 | 0.05 | 2.2x | 243 | 53% |
| Buy and hold | 12.3% | -61.3% | 0.60 | 0.20 | 15.4x | 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 53-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 53-day average falls below the 162-day average