Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Swisscom AG backtest
10 trend-following strategies were compared on the full daily history of Swisscom AG. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 1.9%, drawdown -59.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.9%, MDD -18.8%, Sharpe 0.22, 5% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=19, threshold=32 |
0.9% | -18.8% | 0.22 | 0.05 | 1.3x | 40 | 5% |
| ROC 모멘텀 n=5, threshold=0.13 |
0.2% | -17.4% | 0.07 | 0.01 | 1.0x | 20 | 0% |
| SMA 크로스오버 fast=34, slow=258 |
-0.1% | -44.7% | 0.06 | -0.00 | 1.0x | 35 | 50% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
0.1% | -18.9% | 0.04 | 0.00 | 1.0x | 16 | 2% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=24, mult=3.5 |
0.1% | -26.8% | 0.03 | 0.00 | 1.0x | 16 | 2% |
| EMA 크로스오버 fast=57, slow=219 |
-0.9% | -53.7% | 0.00 | -0.02 | 0.8x | 37 | 50% |
| Donchian 채널 돌파 entryN=92, exitN=71 |
-1.1% | -49.8% | -0.03 | -0.02 | 0.7x | 44 | 42% |
| Supertrend period=13, mult=4.9 |
-4.7% | -85.2% | -0.29 | -0.05 | 0.3x | 96 | 49% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-5.1% | -86.5% | -0.31 | -0.06 | 0.2x | 249 | 52% |
| MACD fast=17, slow=59, signal=14 |
-9.2% | -94.4% | -0.69 | -0.10 | 0.1x | 367 | 50% |
| Buy and hold | 1.9% | -59.4% | 0.19 | 0.03 | 1.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 19-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)