Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Flughafen Zurich AG backtest
10 trend-following strategies were compared on the full daily history of Flughafen Zurich AG. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.8%, MDD -33.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.9%, drawdown -94.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.8%, MDD -33.9%, Sharpe 0.85, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 60.8%p (CAGR 14.8%, MDD -33.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=162 |
14.8% | -33.9% | 0.85 | 0.44 | 37.6x | 34 | 63% |
| ROC 모멘텀 n=167, threshold=-0.01 |
12.3% | -34.6% | 0.74 | 0.36 | 21.1x | 119 | 66% |
| EMA 크로스오버 fast=58, slow=212 |
11.5% | -45.1% | 0.73 | 0.25 | 17.3x | 13 | 64% |
| Donchian 채널 돌파 entryN=105, exitN=31 |
8.4% | -39.8% | 0.66 | 0.21 | 8.4x | 50 | 39% |
| ADX / DI 방향성 period=21, threshold=34 |
4.1% | -19.7% | 0.63 | 0.21 | 2.9x | 30 | 9% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=15, mult=3.7 |
7.5% | -40.8% | 0.62 | 0.18 | 6.6x | 60 | 31% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
5.2% | -52.2% | 0.46 | 0.10 | 3.8x | 66 | 27% |
| Supertrend period=5, mult=4.3 |
6.7% | -58.0% | 0.43 | 0.12 | 5.5x | 98 | 54% |
| MACD fast=13, slow=41, signal=16 |
1.2% | -61.2% | 0.16 | 0.02 | 1.4x | 340 | 50% |
| Parabolic SAR step=0.01, maxStep=0.22 |
0.8% | -74.7% | 0.14 | 0.01 | 1.2x | 340 | 54% |
| Buy and hold | 4.9% | -94.8% | 0.31 | 0.05 | 3.5x | 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 59-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 59-day average falls below the 162-day average