Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Compagnie Financiere Richemont SA backtest
10 trend-following strategies were compared on the full daily history of Compagnie Financiere Richemont SA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.4%, MDD -46.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -74.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -46.2%, Sharpe 0.46, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 28.0%p (CAGR 8.4%, MDD -46.2%, exposure 62%).
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=51, slow=113 |
8.4% | -46.2% | 0.46 | 0.18 | 12.5x | 69 | 62% |
| EMA 크로스오버 fast=54, slow=125 |
8.3% | -47.5% | 0.46 | 0.17 | 12.1x | 47 | 62% |
| 볼린저 밴드 돌파 n=12, k=3.2 |
1.0% | -4.4% | 0.43 | 0.23 | 1.4x | 8 | 1% |
| Donchian 채널 돌파 entryN=29, exitN=67 |
7.9% | -60.8% | 0.42 | 0.13 | 10.7x | 77 | 74% |
| ROC 모멘텀 n=120, threshold=0.01 |
5.4% | -48.9% | 0.34 | 0.11 | 5.2x | 213 | 61% |
| Supertrend period=8, mult=4.7 |
3.6% | -53.8% | 0.27 | 0.07 | 3.0x | 135 | 56% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=24, mult=3.1 |
1.7% | -42.6% | 0.18 | 0.04 | 1.7x | 121 | 30% |
| ADX / DI 방향성 period=28, threshold=36 |
0.1% | -4.0% | 0.10 | 0.03 | 1.0x | 2 | 0% |
| MACD fast=17, slow=59, signal=21 |
-1.0% | -77.4% | 0.07 | -0.01 | 0.7x | 336 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.4% | -84.6% | 0.01 | -0.03 | 0.5x | 279 | 57% |
| Buy and hold | 10.7% | -74.2% | 0.47 | 0.14 | 24.1x | 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 51-day average price crosses above the 113-day average
- Sell — Sell (to cash) when the 51-day average falls below the 113-day average