Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Intershop Holding AG backtest
10 trend-following strategies were compared on the full daily history of Intershop Holding AG. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -81.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.4%, MDD -12.7%, Sharpe 0.38, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.8%, MDD -86.9%, exposure 71%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=9, mult=3.9 |
1.4% | -12.7% | 0.38 | 0.11 | 1.4x | 16 | 10% |
| Supertrend period=20, mult=3.6 |
2.7% | -29.3% | 0.30 | 0.09 | 1.8x | 65 | 71% |
| Donchian 채널 돌파 entryN=8, exitN=61 |
2.2% | -44.4% | 0.24 | 0.05 | 1.6x | 67 | 88% |
| ROC 모멘텀 n=84, threshold=-0.05 |
2.0% | -56.3% | 0.22 | 0.04 | 1.6x | 85 | 91% |
| SMA 크로스오버 fast=59, slow=178 |
3.8% | -86.9% | 0.21 | 0.04 | 2.3x | 29 | 71% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
0.7% | -12.8% | 0.21 | 0.05 | 1.2x | 26 | 9% |
| ADX / DI 방향성 period=36, threshold=20 |
1.1% | -22.4% | 0.20 | 0.05 | 1.3x | 58 | 21% |
| EMA 크로스오버 fast=52, slow=114 |
-3.9% | -88.7% | -0.01 | -0.04 | 0.4x | 39 | 73% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.9% | -62.3% | -0.14 | -0.03 | 0.6x | 164 | 60% |
| MACD fast=18, slow=68, signal=24 |
-2.2% | -60.4% | -0.17 | -0.04 | 0.6x | 218 | 51% |
| Buy and hold | 6.7% | -81.9% | 0.25 | 0.08 | 4.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 32-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 32-day average