Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Roche Holding Ltd backtest
10 trend-following strategies were compared on the full daily history of Roche Holding Ltd. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.1%, MDD -37.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -58.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.0%, MDD -30.4%, Sharpe 0.29, 19% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.3%, MDD -59.3%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 27.9%p (CAGR 3.1%, MDD -37.2%, exposure 59%).
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=54, atrPeriod=14, mult=4 |
2.0% | -30.4% | 0.29 | 0.07 | 1.9x | 53 | 19% |
| EMA 크로스오버 fast=43, slow=207 |
3.1% | -37.2% | 0.27 | 0.08 | 2.6x | 43 | 59% |
| ROC 모멘텀 Hold-like · Exposure 100% n=4, threshold=-0.11 |
3.3% | -59.3% | 0.25 | 0.06 | 2.7x | 23 | 100% |
| SMA 크로스오버 fast=67, slow=202 |
2.7% | -43.1% | 0.25 | 0.06 | 2.3x | 43 | 55% |
| 볼린저 밴드 돌파 n=31, k=2.7 |
1.3% | -28.8% | 0.20 | 0.05 | 1.5x | 87 | 17% |
| Donchian 채널 돌파 entryN=66, exitN=99 |
1.6% | -58.6% | 0.18 | 0.03 | 1.6x | 43 | 61% |
| ADX / DI 방향성 period=36, threshold=37 |
0.3% | -8.6% | 0.17 | 0.04 | 1.1x | 4 | 2% |
| Supertrend period=27, mult=4.9 |
-0.2% | -64.6% | 0.06 | -0.00 | 0.9x | 103 | 54% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-2.3% | -76.5% | -0.07 | -0.03 | 0.5x | 373 | 55% |
| MACD fast=19, slow=28, signal=24 |
-3.7% | -83.7% | -0.16 | -0.04 | 0.3x | 349 | 51% |
| Buy and hold | 3.7% | -58.3% | 0.27 | 0.06 | 3.1x | 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 54-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 54-day average