Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Georg Fischer AG backtest
10 trend-following strategies were compared on the full daily history of Georg Fischer AG. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.4%, MDD -32.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.7%, drawdown -88.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.0%, MDD -48.8%, Sharpe 0.56, 46% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.9%, MDD -59.9%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 5.4%, MDD -32.9%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=102, exitN=50 |
9.0% | -48.8% | 0.56 | 0.18 | 15.0x | 48 | 46% |
| SMA 크로스오버 fast=69, slow=141 |
9.9% | -59.9% | 0.54 | 0.16 | 19.1x | 52 | 57% |
| EMA 크로스오버 fast=49, slow=53 |
9.7% | -55.9% | 0.54 | 0.17 | 18.1x | 79 | 58% |
| ROC 모멘텀 n=118, threshold=0.02 |
8.6% | -53.2% | 0.50 | 0.16 | 13.2x | 188 | 55% |
| Supertrend period=20, mult=4.9 |
7.8% | -48.4% | 0.47 | 0.16 | 10.5x | 103 | 54% |
| 볼린저 밴드 돌파 n=55, k=2.3 |
5.4% | -32.9% | 0.41 | 0.16 | 5.1x | 95 | 32% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=13, mult=1.3 |
6.0% | -46.5% | 0.40 | 0.13 | 6.2x | 245 | 47% |
| Parabolic SAR step=0.005, maxStep=0.26 |
4.3% | -60.9% | 0.30 | 0.07 | 3.8x | 265 | 55% |
| ADX / DI 방향성 period=26, threshold=13 |
3.5% | -55.8% | 0.28 | 0.06 | 2.9x | 313 | 40% |
| MACD fast=13, slow=48, signal=30 |
3.8% | -52.2% | 0.28 | 0.07 | 3.2x | 319 | 51% |
| Buy and hold | 4.7% | -88.9% | 0.30 | 0.05 | 4.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 102 days
- Sell — Sell when price breaks below the lowest low of the last 50 days