Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Siegfried Holding AG backtest
10 trend-following strategies were compared on the full daily history of Siegfried Holding AG. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.9%, MDD -36.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.7%, drawdown -73.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -36.0%, Sharpe 0.57, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 8.9%, MDD -36.0%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=63, slow=145 |
8.9% | -36.0% | 0.57 | 0.25 | 14.6x | 52 | 60% |
| Donchian 채널 돌파 entryN=98, exitN=65 |
6.3% | -42.8% | 0.46 | 0.15 | 6.8x | 44 | 54% |
| Supertrend period=24, mult=5 |
5.7% | -50.2% | 0.40 | 0.11 | 5.6x | 104 | 58% |
| EMA 크로스오버 fast=59, slow=171 |
5.2% | -50.3% | 0.37 | 0.10 | 4.9x | 44 | 63% |
| 볼린저 밴드 돌파 n=32, k=3 |
3.0% | -26.9% | 0.36 | 0.11 | 2.5x | 74 | 16% |
| ADX / DI 방향성 period=43, threshold=22 |
2.3% | -15.5% | 0.35 | 0.15 | 2.0x | 42 | 11% |
| Parabolic SAR step=0.005, maxStep=0.24 |
3.5% | -40.6% | 0.28 | 0.09 | 3.0x | 237 | 53% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=9, mult=3.7 |
2.1% | -32.7% | 0.25 | 0.06 | 1.9x | 78 | 22% |
| ROC 모멘텀 n=145, threshold=-0.03 |
1.4% | -76.4% | 0.17 | 0.02 | 1.5x | 253 | 69% |
| MACD fast=18, slow=58, signal=19 |
-0.2% | -66.6% | 0.08 | -0.00 | 1.0x | 351 | 49% |
| Buy and hold | 7.7% | -73.5% | 0.42 | 0.10 | 10.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 63-day average price crosses above the 145-day average
- Sell — Sell (to cash) when the 63-day average falls below the 145-day average