Trend-Following Backtester · Guide · backtest 한국어
equity · CH
SIG Group AG backtest
10 trend-following strategies were compared on the full daily history of SIG Group AG. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.7%, MDD -16.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.2%, drawdown -72.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -34.7%, Sharpe 0.63, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 3.7%, MDD -16.5%, exposure 14%).
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=91, slow=104 |
12.3% | -34.7% | 0.63 | 0.35 | 2.5x | 23 | 56% |
| Donchian 채널 돌파 entryN=11, exitN=36 |
11.8% | -38.9% | 0.60 | 0.30 | 2.4x | 31 | 69% |
| 볼린저 밴드 돌파 n=51, k=0.9 |
6.7% | -34.4% | 0.44 | 0.19 | 1.7x | 45 | 46% |
| ROC 모멘텀 n=144, threshold=0 |
6.9% | -47.5% | 0.43 | 0.14 | 1.7x | 33 | 50% |
| EMA 크로스오버 fast=51, slow=123 |
6.8% | -52.7% | 0.41 | 0.13 | 1.7x | 11 | 52% |
| ADX / DI 방향성 period=31, threshold=19 |
3.7% | -16.5% | 0.40 | 0.22 | 1.3x | 18 | 14% |
| Supertrend period=18, mult=4.7 |
5.2% | -43.0% | 0.35 | 0.12 | 1.5x | 23 | 59% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=22, mult=1.4 |
2.2% | -40.1% | 0.21 | 0.06 | 1.2x | 49 | 42% |
| MACD fast=13, slow=25, signal=14 |
-0.3% | -50.9% | 0.10 | -0.01 | 1.0x | 109 | 50% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-6.2% | -61.2% | -0.17 | -0.10 | 0.6x | 181 | 50% |
| Buy and hold | 2.2% | -72.4% | 0.23 | 0.03 | 1.2x | 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 91-day average price crosses above the 104-day average
- Sell — Sell (to cash) when the 91-day average falls below the 104-day average