Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Daetwyler Holding AG backtest
10 trend-following strategies were compared on the full daily history of Daetwyler Holding AG. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.2%, MDD -40.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.5%, drawdown -73.3%).
Sharpe leader (same as main): Supertrend — CAGR 7.2%, MDD -40.3%, Sharpe 0.43, 63% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 7.2%, MDD -40.3%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=4.8 |
7.2% | -40.3% | 0.43 | 0.18 | 8.7x | 104 | 63% |
| EMA 크로스오버 fast=17, slow=68 |
7.1% | -41.5% | 0.43 | 0.17 | 8.5x | 110 | 61% |
| SMA 크로스오버 fast=8, slow=212 |
6.9% | -53.3% | 0.42 | 0.13 | 7.9x | 72 | 60% |
| Donchian 채널 돌파 entryN=51, exitN=50 |
6.5% | -45.4% | 0.40 | 0.14 | 7.2x | 72 | 58% |
| 볼린저 밴드 돌파 n=51, k=3.4 |
3.0% | -28.4% | 0.37 | 0.11 | 2.5x | 40 | 16% |
| ROC 모멘텀 n=92, threshold=-0.11 |
5.4% | -60.2% | 0.33 | 0.09 | 5.1x | 151 | 82% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=2.1 |
2.5% | -53.1% | 0.23 | 0.05 | 2.1x | 154 | 43% |
| ADX / DI 방향성 period=29, threshold=34 |
0.4% | -14.2% | 0.12 | 0.03 | 1.1x | 14 | 3% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-0.5% | -71.5% | 0.08 | -0.01 | 0.8x | 492 | 54% |
| MACD fast=18, slow=53, signal=21 |
-1.2% | -63.0% | 0.03 | -0.02 | 0.7x | 308 | 49% |
| Buy and hold | 6.5% | -73.3% | 0.36 | 0.09 | 7.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 14-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)