Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Partners Group Holding AG backtest
10 trend-following strategies were compared on the full daily history of Partners Group Holding AG. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.9%, MDD -42.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.7%, drawdown -69.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -42.3%, Sharpe 0.70, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 12.9%, MDD -42.3%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=78, slow=155 |
12.9% | -42.3% | 0.70 | 0.30 | 11.7x | 22 | 65% |
| ADX / DI 방향성 period=39, threshold=18 |
6.4% | -18.2% | 0.63 | 0.35 | 3.5x | 40 | 22% |
| Supertrend period=20, mult=2.4 |
9.2% | -36.8% | 0.56 | 0.25 | 6.0x | 209 | 59% |
| ROC 모멘텀 n=146, threshold=0.07 |
7.3% | -36.8% | 0.50 | 0.20 | 4.2x | 136 | 55% |
| EMA 크로스오버 fast=42, slow=84 |
7.8% | -56.5% | 0.48 | 0.14 | 4.6x | 42 | 67% |
| MACD fast=15, slow=37, signal=14 |
7.2% | -46.1% | 0.47 | 0.16 | 4.1x | 255 | 49% |
| Donchian 채널 돌파 entryN=80, exitN=77 |
7.1% | -41.8% | 0.46 | 0.17 | 4.0x | 32 | 63% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=1.9 |
5.5% | -41.4% | 0.41 | 0.13 | 3.0x | 114 | 52% |
| 볼린저 밴드 돌파 n=25, k=2.1 |
3.1% | -43.1% | 0.29 | 0.07 | 1.8x | 142 | 37% |
| Parabolic SAR step=0.015, maxStep=0.34 |
3.1% | -44.6% | 0.26 | 0.07 | 1.9x | 362 | 55% |
| Buy and hold | 10.7% | -69.4% | 0.50 | 0.15 | 8.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 78-day average price crosses above the 155-day average
- Sell — Sell (to cash) when the 78-day average falls below the 155-day average