Trend-Following Backtester · Guide · backtest 한국어
equity · CH
BELIMO Holding AG backtest
10 trend-following strategies were compared on the full daily history of BELIMO Holding AG. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.4%, MDD -44.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.7%, drawdown -61.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.3%, MDD -54.8%, Sharpe 0.60, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.4%, MDD -44.2%, exposure 77%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.4%p lower than buy and hold, while drawdown improves by 6.8%p (CAGR 11.4%, MDD -44.2%, exposure 77%).
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=6, slow=185 |
11.3% | -54.8% | 0.60 | 0.21 | 24.8x | 101 | 67% |
| Donchian 채널 돌파 entryN=28, exitN=60 |
11.4% | -44.2% | 0.57 | 0.26 | 25.3x | 69 | 77% |
| EMA 크로스오버 fast=49, slow=108 |
10.4% | -55.7% | 0.56 | 0.19 | 19.2x | 49 | 68% |
| Supertrend period=20, mult=4.2 |
9.9% | -43.6% | 0.54 | 0.23 | 16.9x | 118 | 63% |
| ROC 모멘텀 n=168, threshold=-0.01 |
9.8% | -43.0% | 0.52 | 0.23 | 16.6x | 173 | 72% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=2.1 |
6.3% | -51.1% | 0.43 | 0.12 | 6.3x | 146 | 46% |
| Parabolic SAR step=0.005, maxStep=0.26 |
7.1% | -46.6% | 0.43 | 0.15 | 7.8x | 232 | 55% |
| 볼린저 밴드 돌파 n=53, k=2 |
5.7% | -58.1% | 0.41 | 0.10 | 5.3x | 126 | 41% |
| ADX / DI 방향성 period=15, threshold=18 |
4.3% | -55.0% | 0.32 | 0.08 | 3.6x | 402 | 41% |
| MACD fast=23, slow=44, signal=20 |
2.9% | -59.2% | 0.24 | 0.05 | 2.3x | 298 | 51% |
| Buy and hold | 14.7% | -61.6% | 0.60 | 0.24 | 61.9x | 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 6-day average price crosses above the 185-day average
- Sell — Sell (to cash) when the 6-day average falls below the 185-day average