Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Emmi AG backtest
10 trend-following strategies were compared on the full daily history of Emmi AG. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -43.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.6%, MDD -43.0%, Sharpe 0.53, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.09 |
9.6% | -43.0% | 0.53 | 0.22 | 7.3x | 5 | 100% |
| 볼린저 밴드 돌파 n=26, k=3.4 |
3.4% | -21.5% | 0.50 | 0.16 | 2.1x | 32 | 10% |
| EMA 크로스오버 fast=10, slow=29 |
6.4% | -42.3% | 0.46 | 0.15 | 3.8x | 146 | 57% |
| Donchian 채널 돌파 entryN=65, exitN=22 |
5.3% | -44.7% | 0.44 | 0.12 | 3.1x | 65 | 42% |
| Supertrend period=16, mult=3.4 |
5.8% | -51.0% | 0.42 | 0.11 | 3.4x | 91 | 61% |
| MACD fast=30, slow=56, signal=23 |
5.4% | -30.2% | 0.42 | 0.18 | 3.1x | 160 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
5.5% | -38.7% | 0.41 | 0.14 | 3.2x | 166 | 57% |
| SMA 크로스오버 fast=50, slow=128 |
5.5% | -37.5% | 0.40 | 0.15 | 3.2x | 57 | 59% |
| ADX / DI 방향성 period=12, threshold=34 |
1.7% | -31.7% | 0.27 | 0.05 | 1.4x | 108 | 13% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=2.7 |
2.5% | -35.3% | 0.26 | 0.07 | 1.7x | 72 | 33% |
| Buy and hold | 10.1% | -43.0% | 0.55 | 0.23 | 8.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -9%
- Sell — Sell when the 1-day return drops to -9% or below