Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Lonza Group AG backtest
10 trend-following strategies were compared on the full daily history of Lonza Group AG. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.0%, MDD -36.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.3%, drawdown -79.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.0%, MDD -36.1%, Sharpe 0.62, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 11.0%, MDD -36.1%, exposure 61%).
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=63, slow=182 |
11.0% | -36.1% | 0.62 | 0.30 | 16.1x | 19 | 61% |
| ROC 모멘텀 n=179, threshold=-0.05 |
9.2% | -52.8% | 0.52 | 0.17 | 10.5x | 111 | 69% |
| SMA 크로스오버 fast=33, slow=214 |
8.3% | -55.9% | 0.49 | 0.15 | 8.5x | 27 | 62% |
| 볼린저 밴드 돌파 n=37, k=3.1 |
3.4% | -24.3% | 0.46 | 0.14 | 2.5x | 37 | 12% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=13, mult=3.4 |
2.9% | -27.6% | 0.33 | 0.11 | 2.2x | 64 | 19% |
| Donchian 채널 돌파 entryN=9, exitN=78 |
4.0% | -70.1% | 0.28 | 0.06 | 2.8x | 81 | 89% |
| ADX / DI 방향성 period=42, threshold=18 |
2.2% | -25.0% | 0.27 | 0.09 | 1.8x | 66 | 15% |
| Supertrend period=9, mult=3.2 |
-0.0% | -64.8% | 0.10 | -0.00 | 1.0x | 178 | 56% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.1% | -68.1% | 0.09 | -0.00 | 1.0x | 230 | 55% |
| MACD fast=12, slow=38, signal=15 |
-0.6% | -57.2% | 0.06 | -0.01 | 0.8x | 376 | 50% |
| Buy and hold | 7.3% | -79.2% | 0.39 | 0.09 | 6.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 63-day EMA crosses above the 182-day EMA
- Sell — Sell when the 63-day EMA falls below the 182-day EMA