Trend-Following Backtester · Guide · backtest 한국어
equity · CH
SFS Group AG backtest
10 trend-following strategies were compared on the full daily history of SFS Group AG. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.8%, MDD -27.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.7%, drawdown -50.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.8%, MDD -27.1%, Sharpe 0.51, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 6.8%, MDD -27.1%, exposure 49%).
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=38, threshold=8 |
6.8% | -27.1% | 0.51 | 0.25 | 2.2x | 101 | 49% |
| Donchian 채널 돌파 entryN=96, exitN=36 |
5.1% | -33.7% | 0.43 | 0.15 | 1.8x | 21 | 42% |
| EMA 크로스오버 fast=11, slow=190 |
4.3% | -32.3% | 0.34 | 0.13 | 1.7x | 25 | 57% |
| Supertrend period=24, mult=1.4 |
4.3% | -43.9% | 0.33 | 0.10 | 1.7x | 188 | 55% |
| 볼린저 밴드 돌파 n=56, k=1.5 |
3.2% | -29.7% | 0.29 | 0.11 | 1.5x | 56 | 41% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=21, mult=1.3 |
3.1% | -30.5% | 0.29 | 0.10 | 1.5x | 82 | 45% |
| SMA 크로스오버 fast=6, slow=192 |
3.0% | -40.2% | 0.27 | 0.08 | 1.4x | 31 | 54% |
| MACD fast=11, slow=29, signal=8 |
2.9% | -43.1% | 0.26 | 0.07 | 1.4x | 212 | 49% |
| ROC 모멘텀 n=62, threshold=-0.03 |
3.0% | -43.4% | 0.25 | 0.07 | 1.4x | 127 | 65% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-1.2% | -47.2% | 0.01 | -0.02 | 0.9x | 222 | 53% |
| Buy and hold | 5.7% | -50.2% | 0.35 | 0.11 | 2.0x | 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, 38-day) is ≥ 8
- Sell — Sell when direction flips or the trend weakens (ADX < 8)