Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Landis+Gyr Group AG backtest
10 trend-following strategies were compared on the full daily history of Landis+Gyr Group AG. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.8%, MDD -24.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.9%, drawdown -61.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.6%, MDD -24.6%, Sharpe 0.43, 22% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 36.5%p (CAGR 2.8%, MDD -24.3%, exposure 18%).
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=49, atrPeriod=15, mult=3.1 |
4.6% | -24.6% | 0.43 | 0.19 | 1.5x | 18 | 22% |
| 볼린저 밴드 돌파 n=44, k=3 |
2.8% | -24.3% | 0.29 | 0.11 | 1.3x | 16 | 18% |
| Donchian 채널 돌파 entryN=64, exitN=52 |
1.4% | -36.4% | 0.17 | 0.04 | 1.1x | 16 | 46% |
| ROC 모멘텀 n=66, threshold=-0.01 |
-1.2% | -48.8% | 0.03 | -0.03 | 0.9x | 98 | 48% |
| SMA 크로스오버 fast=57, slow=79 |
-1.3% | -44.2% | 0.03 | -0.03 | 0.9x | 36 | 47% |
| EMA 크로스오버 fast=32, slow=90 |
-1.3% | -44.3% | 0.03 | -0.03 | 0.9x | 22 | 43% |
| ADX / DI 방향성 period=39, threshold=21 |
-0.5% | -25.6% | -0.02 | -0.02 | 1.0x | 12 | 7% |
| Supertrend period=24, mult=4.2 |
-3.7% | -45.3% | -0.07 | -0.08 | 0.7x | 32 | 46% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-7.0% | -57.8% | -0.24 | -0.12 | 0.5x | 155 | 49% |
| MACD fast=12, slow=56, signal=15 |
-9.0% | -66.6% | -0.32 | -0.14 | 0.4x | 113 | 50% |
| Buy and hold | -5.9% | -61.1% | -0.04 | -0.10 | 0.6x | 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 49-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 49-day average