Trend-Following Backtester · Guide · backtest 한국어
equity · CH
EFG International AG backtest
10 trend-following strategies were compared on the full daily history of EFG International AG. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.3%, MDD -18.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.3%, drawdown -94.5%).
Sharpe leader (same as main): Supertrend — CAGR 3.4%, MDD -53.6%, Sharpe 0.26, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 40.9%p (CAGR 0.3%, MDD -18.0%, exposure 5%).
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=21, mult=3.4 |
3.4% | -53.6% | 0.26 | 0.06 | 2.0x | 100 | 53% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=9, mult=2.8 |
1.9% | -36.7% | 0.20 | 0.05 | 1.5x | 62 | 20% |
| Donchian 채널 돌파 entryN=18, exitN=39 |
1.1% | -61.4% | 0.19 | 0.02 | 1.3x | 79 | 68% |
| Parabolic SAR step=0.01, maxStep=0.36 |
1.3% | -55.8% | 0.18 | 0.02 | 1.3x | 266 | 52% |
| ROC 모멘텀 n=257, threshold=0.09 |
1.5% | -58.9% | 0.18 | 0.03 | 1.4x | 92 | 44% |
| EMA 크로스오버 fast=27, slow=45 |
1.1% | -60.3% | 0.17 | 0.02 | 1.3x | 80 | 54% |
| SMA 크로스오버 fast=49, slow=126 |
0.5% | -66.4% | 0.14 | 0.01 | 1.1x | 44 | 53% |
| MACD fast=16, slow=56, signal=19 |
-1.1% | -66.2% | 0.10 | -0.02 | 0.8x | 220 | 53% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
0.3% | -18.0% | 0.07 | 0.01 | 1.1x | 12 | 5% |
| ADX / DI 방향성 period=26, threshold=7 |
-2.9% | -68.0% | -0.01 | -0.04 | 0.5x | 322 | 49% |
| Buy and hold | -4.3% | -94.5% | 0.10 | -0.05 | 0.4x | 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) — 21-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)