Trend-Following Backtester · Guide · backtest 한국어
equity · CH
SGS SA backtest
10 trend-following strategies were compared on the full daily history of SGS SA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.5%, MDD -46.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -77.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -46.7%, Sharpe 0.39, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 30.3%p (CAGR 6.5%, MDD -46.7%, exposure 59%).
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=29, slow=134 |
6.5% | -46.7% | 0.39 | 0.14 | 7.2x | 65 | 59% |
| Supertrend period=29, mult=5 |
5.5% | -42.7% | 0.35 | 0.13 | 5.4x | 85 | 62% |
| EMA 크로스오버 fast=47, slow=65 |
5.2% | -43.9% | 0.34 | 0.12 | 4.9x | 79 | 60% |
| Donchian 채널 돌파 entryN=14, exitN=76 |
5.5% | -62.8% | 0.33 | 0.09 | 5.4x | 87 | 84% |
| 볼린저 밴드 돌파 n=71, k=2.4 |
3.6% | -36.3% | 0.31 | 0.10 | 3.1x | 73 | 32% |
| ROC 모멘텀 n=149, threshold=-0.01 |
4.0% | -58.7% | 0.29 | 0.07 | 3.5x | 195 | 63% |
| ADX / DI 방향성 period=30, threshold=32 |
0.8% | -9.7% | 0.21 | 0.08 | 1.3x | 10 | 2% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=18, mult=4 |
-0.2% | -53.6% | 0.03 | -0.00 | 0.9x | 66 | 20% |
| MACD fast=23, slow=57, signal=24 |
-2.7% | -78.9% | -0.01 | -0.03 | 0.4x | 299 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-5.2% | -85.6% | -0.13 | -0.06 | 0.2x | 269 | 56% |
| Buy and hold | 6.7% | -77.0% | 0.36 | 0.09 | 7.5x | 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 29-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 29-day average falls below the 134-day average