Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Sensirion Holding AG backtest
10 trend-following strategies were compared on the full daily history of Sensirion Holding AG. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.2%, MDD -15.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.5%, drawdown -64.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.2%, MDD -15.4%, Sharpe 0.66, 12% exposure.
CAGR reference leader: Supertrend — CAGR 13.9%, MDD -41.0%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 48.5%p (CAGR 8.2%, MDD -15.4%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=59, k=3.5 |
8.2% | -15.4% | 0.66 | 0.53 | 1.9x | 6 | 12% |
| Supertrend period=29, mult=2.6 |
13.9% | -41.0% | 0.58 | 0.34 | 3.0x | 54 | 50% |
| ADX / DI 방향성 period=15, threshold=30 |
5.8% | -26.5% | 0.48 | 0.22 | 1.6x | 26 | 12% |
| SMA 크로스오버 fast=16, slow=47 |
7.9% | -54.8% | 0.40 | 0.14 | 1.9x | 42 | 52% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=21, mult=2.6 |
5.1% | -35.1% | 0.35 | 0.15 | 1.5x | 36 | 29% |
| EMA 크로스오버 fast=6, slow=61 |
5.9% | -60.9% | 0.34 | 0.10 | 1.6x | 44 | 50% |
| ROC 모멘텀 n=23, threshold=0.01 |
4.9% | -51.7% | 0.31 | 0.09 | 1.5x | 162 | 48% |
| MACD fast=19, slow=60, signal=11 |
4.8% | -52.7% | 0.31 | 0.09 | 1.5x | 94 | 49% |
| Parabolic SAR step=0.005, maxStep=0.16 |
3.4% | -67.2% | 0.26 | 0.05 | 1.3x | 70 | 50% |
| Donchian 채널 돌파 entryN=32, exitN=30 |
2.3% | -69.2% | 0.23 | 0.03 | 1.2x | 34 | 50% |
| Buy and hold | 5.5% | -64.0% | 0.34 | 0.09 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 59-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 59-day middle average