Trend-Following Backtester · Guide · backtest 한국어
equity · CH
PolyPeptide Group AG backtest
10 trend-following strategies were compared on the full daily history of PolyPeptide Group AG. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.3%, MDD -8.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.6%, drawdown -90.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.3%, MDD -8.9%, Sharpe 0.76, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 17.4%, MDD -30.9%, exposure 41%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 81.3%p (CAGR 7.3%, MDD -8.9%, exposure 4%).
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=8, atrPeriod=11, mult=3.1 |
7.3% | -8.9% | 0.76 | 0.81 | 1.4x | 6 | 4% |
| Donchian 채널 돌파 entryN=97, exitN=74 |
16.3% | -31.1% | 0.69 | 0.52 | 2.2x | 3 | 32% |
| ROC 모멘텀 n=79, threshold=-0.02 |
17.4% | -30.9% | 0.66 | 0.56 | 2.3x | 47 | 41% |
| 볼린저 밴드 돌파 n=11, k=3 |
4.9% | -8.9% | 0.58 | 0.55 | 1.3x | 4 | 2% |
| ADX / DI 방향성 period=24, threshold=44 |
6.4% | -19.2% | 0.55 | 0.33 | 1.4x | 2 | 5% |
| SMA 크로스오버 fast=58, slow=244 |
11.2% | -29.7% | 0.54 | 0.38 | 1.7x | 3 | 31% |
| Supertrend period=20, mult=2.2 |
11.6% | -74.0% | 0.49 | 0.16 | 1.8x | 48 | 46% |
| EMA 크로스오버 fast=22, slow=193 |
9.3% | -39.2% | 0.47 | 0.24 | 1.6x | 5 | 33% |
| MACD fast=8, slow=26, signal=7 |
10.9% | -72.8% | 0.47 | 0.15 | 1.7x | 104 | 51% |
| Parabolic SAR step=0.005, maxStep=0.14 |
7.6% | -68.5% | 0.39 | 0.11 | 1.5x | 35 | 42% |
| Buy and hold | -6.6% | -90.2% | 0.18 | -0.07 | 0.7x | 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 8-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average