Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Huber + Suhner AG backtest
10 trend-following strategies were compared on the full daily history of Huber + Suhner AG. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.9%, MDD -27.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.4%, drawdown -92.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.3%, MDD -51.5%, Sharpe 0.71, 63% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 41.3%p (CAGR 8.9%, MDD -27.2%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=47, slow=130 |
15.3% | -51.5% | 0.71 | 0.30 | 81.8x | 37 | 63% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
8.9% | -27.2% | 0.69 | 0.33 | 13.9x | 40 | 20% |
| SMA 크로스오버 fast=12, slow=193 |
14.7% | -52.8% | 0.69 | 0.28 | 70.1x | 61 | 63% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=12, mult=3.7 |
8.5% | -22.0% | 0.67 | 0.38 | 12.4x | 62 | 15% |
| Donchian 채널 돌파 entryN=109, exitN=74 |
12.9% | -69.4% | 0.63 | 0.19 | 42.7x | 37 | 59% |
| ROC 모멘텀 n=131, threshold=0.03 |
12.5% | -61.5% | 0.62 | 0.20 | 38.5x | 225 | 57% |
| Supertrend period=16, mult=5 |
11.2% | -56.4% | 0.57 | 0.20 | 27.3x | 92 | 61% |
| ADX / DI 방향성 period=18, threshold=37 |
5.4% | -17.7% | 0.56 | 0.31 | 5.1x | 40 | 7% |
| Parabolic SAR step=0.005, maxStep=0.32 |
9.6% | -63.3% | 0.50 | 0.15 | 17.0x | 240 | 56% |
| MACD fast=38, slow=46, signal=16 |
8.8% | -70.9% | 0.46 | 0.12 | 13.7x | 252 | 52% |
| Buy and hold | 9.4% | -92.8% | 0.43 | 0.10 | 16.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 130-day EMA
- Sell — Sell when the 47-day EMA falls below the 130-day EMA