Trend-Following Backtester · Guide · backtest 한국어
equity · CH
INFICON Holding AG backtest
10 trend-following strategies were compared on the full daily history of INFICON Holding AG. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.8%, MDD -35.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.1%, drawdown -81.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -35.4%, Sharpe 0.61, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 11.8%, MDD -35.2%, exposure 62%).
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=62, exitN=78 |
13.3% | -35.4% | 0.61 | 0.38 | 24.7x | 35 | 66% |
| SMA 크로스오버 fast=25, slow=189 |
12.9% | -36.8% | 0.60 | 0.35 | 22.6x | 37 | 62% |
| EMA 크로스오버 fast=37, slow=207 |
11.8% | -35.2% | 0.56 | 0.34 | 17.5x | 29 | 62% |
| Supertrend period=13, mult=3.9 |
9.6% | -48.7% | 0.48 | 0.20 | 10.5x | 104 | 59% |
| 볼린저 밴드 돌파 n=11, k=3 |
0.3% | -1.3% | 0.42 | 0.27 | 1.1x | 2 | 0% |
| ROC 모멘텀 n=99, threshold=0.01 |
7.5% | -45.5% | 0.41 | 0.16 | 6.4x | 227 | 60% |
| Parabolic SAR step=0.005, maxStep=0.16 |
7.1% | -53.1% | 0.39 | 0.13 | 5.8x | 214 | 54% |
| MACD fast=18, slow=30, signal=22 |
4.1% | -63.6% | 0.28 | 0.06 | 2.8x | 300 | 50% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=11, mult=3.4 |
2.6% | -41.6% | 0.25 | 0.06 | 2.0x | 70 | 22% |
| ADX / DI 방향성 period=23, threshold=24 |
2.4% | -33.4% | 0.25 | 0.07 | 1.8x | 74 | 12% |
| Buy and hold | 8.1% | -81.0% | 0.39 | 0.10 | 7.4x | 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 62 days
- Sell — Sell when price breaks below the lowest low of the last 78 days