Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Schindler Holding Ltd. backtest
10 trend-following strategies were compared on the full daily history of Schindler Holding Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.8%, MDD -33.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -50.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.8%, MDD -33.4%, Sharpe 0.48, 80% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 16.8%p (CAGR 8.8%, MDD -33.4%, exposure 80%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=28, exitN=75 |
8.8% | -33.4% | 0.48 | 0.26 | 14.0x | 62 | 80% |
| EMA 크로스오버 fast=17, slow=35 |
7.2% | -39.4% | 0.45 | 0.18 | 8.8x | 162 | 61% |
| SMA 크로스오버 fast=36, slow=87 |
7.1% | -43.1% | 0.44 | 0.17 | 8.7x | 88 | 62% |
| Supertrend period=18, mult=4.9 |
6.0% | -31.7% | 0.41 | 0.19 | 6.3x | 84 | 55% |
| 볼린저 밴드 돌파 n=78, k=2.8 |
3.3% | -34.3% | 0.32 | 0.09 | 2.7x | 44 | 22% |
| ADX / DI 방향성 period=29, threshold=27 |
1.4% | -11.6% | 0.31 | 0.12 | 1.6x | 24 | 4% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=22, mult=4 |
1.1% | -48.7% | 0.15 | 0.02 | 1.4x | 74 | 29% |
| ROC 모멘텀 n=114, threshold=0 |
-0.3% | -66.9% | 0.08 | -0.00 | 0.9x | 304 | 63% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-0.6% | -60.7% | 0.07 | -0.01 | 0.8x | 266 | 58% |
| MACD fast=18, slow=43, signal=19 |
-4.8% | -82.6% | -0.16 | -0.06 | 0.2x | 396 | 52% |
| Buy and hold | 9.4% | -50.1% | 0.46 | 0.19 | 16.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 28 days
- Sell — Sell when price breaks below the lowest low of the last 75 days