Trend-Following Backtester · Guide · backtest 한국어
equity · CH
EMS-CHEMIE HOLDING AG backtest
10 trend-following strategies were compared on the full daily history of EMS-CHEMIE HOLDING AG. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.5%, MDD -26.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.7%, drawdown -53.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -26.8%, Sharpe 0.69, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 26.3%p (CAGR 10.5%, MDD -26.8%, exposure 67%).
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=66, slow=215 |
10.5% | -26.8% | 0.69 | 0.39 | 9.6x | 19 | 67% |
| EMA 크로스오버 fast=53, slow=205 |
9.7% | -33.3% | 0.65 | 0.29 | 8.1x | 17 | 67% |
| ROC 모멘텀 n=145, threshold=-0.02 |
7.9% | -39.2% | 0.55 | 0.20 | 5.6x | 123 | 70% |
| Donchian 채널 돌파 entryN=116, exitN=78 |
7.2% | -36.6% | 0.54 | 0.20 | 4.9x | 25 | 59% |
| 볼린저 밴드 돌파 n=19, k=2.4 |
3.8% | -18.6% | 0.45 | 0.20 | 2.3x | 127 | 23% |
| Supertrend period=22, mult=2.1 |
5.6% | -41.4% | 0.43 | 0.13 | 3.4x | 211 | 58% |
| Parabolic SAR step=0.01, maxStep=0.06 |
3.1% | -54.1% | 0.28 | 0.06 | 2.0x | 259 | 57% |
| MACD fast=18, slow=23, signal=18 |
2.7% | -49.6% | 0.26 | 0.06 | 1.8x | 285 | 51% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=15, mult=1.2 |
2.4% | -32.7% | 0.25 | 0.07 | 1.7x | 203 | 39% |
| ADX / DI 방향성 period=27, threshold=39 |
0.3% | -7.8% | 0.17 | 0.04 | 1.1x | 6 | 2% |
| Buy and hold | 9.7% | -53.2% | 0.53 | 0.18 | 8.1x | 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 66-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 66-day average falls below the 215-day average