Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Berner Kantonalbank AG backtest
10 trend-following strategies were compared on the full daily history of Berner Kantonalbank AG. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.2%, drawdown -34.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.0%, MDD -12.7%, Sharpe 0.65, 14% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.2%, MDD -34.5%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=9, mult=2.8 |
3.0% | -12.7% | 0.65 | 0.24 | 2.2x | 40 | 14% |
| ADX / DI 방향성 period=20, threshold=41 |
2.0% | -8.6% | 0.53 | 0.23 | 1.7x | 32 | 9% |
| 볼린저 밴드 돌파 n=58, k=3 |
2.2% | -11.7% | 0.45 | 0.19 | 1.8x | 38 | 18% |
| ROC 모멘텀 Hold-like · Exposure 100% n=16, threshold=-0.12 |
4.2% | -34.5% | 0.44 | 0.12 | 2.9x | 5 | 100% |
| Donchian 채널 돌파 entryN=108, exitN=78 |
3.0% | -25.6% | 0.39 | 0.12 | 2.1x | 33 | 60% |
| Supertrend period=22, mult=4 |
2.3% | -28.1% | 0.32 | 0.08 | 1.8x | 73 | 56% |
| SMA 크로스오버 fast=51, slow=182 |
2.3% | -33.2% | 0.30 | 0.07 | 1.8x | 43 | 63% |
| EMA 크로스오버 fast=49, slow=146 |
2.0% | -46.9% | 0.27 | 0.04 | 1.7x | 39 | 65% |
| Parabolic SAR step=0.005, maxStep=0.04 |
0.3% | -48.6% | 0.07 | 0.01 | 1.1x | 173 | 57% |
| MACD fast=28, slow=71, signal=24 |
-0.4% | -53.8% | -0.02 | -0.01 | 0.9x | 199 | 54% |
| Buy and hold | 4.2% | -34.5% | 0.43 | 0.12 | 2.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 26-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 26-day average