Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Sika AG backtest
10 trend-following strategies were compared on the full daily history of Sika AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.4%, MDD -41.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.8%, drawdown -73.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -41.9%, Sharpe 0.70, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 13.4%, MDD -41.9%, exposure 65%).
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=56, slow=144 |
13.4% | -41.9% | 0.70 | 0.32 | 51.6x | 45 | 65% |
| Donchian 채널 돌파 entryN=107, exitN=96 |
13.1% | -45.2% | 0.70 | 0.29 | 47.0x | 29 | 62% |
| EMA 크로스오버 fast=42, slow=110 |
11.5% | -49.9% | 0.62 | 0.23 | 30.3x | 49 | 65% |
| ROC 모멘텀 n=179, threshold=0.05 |
10.3% | -57.6% | 0.58 | 0.18 | 21.9x | 161 | 61% |
| Supertrend period=14, mult=5 |
8.3% | -50.5% | 0.51 | 0.16 | 12.3x | 93 | 59% |
| 볼린저 밴드 돌파 n=53, k=2.6 |
3.0% | -40.2% | 0.30 | 0.07 | 2.5x | 82 | 29% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=16, mult=3.4 |
2.9% | -42.6% | 0.27 | 0.07 | 2.5x | 109 | 35% |
| ADX / DI 방향성 period=34, threshold=34 |
0.4% | -6.8% | 0.19 | 0.06 | 1.1x | 8 | 1% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.2% | -79.6% | 0.09 | -0.00 | 0.9x | 283 | 60% |
| MACD fast=16, slow=43, signal=19 |
-3.1% | -72.7% | -0.05 | -0.04 | 0.4x | 391 | 52% |
| Buy and hold | 11.8% | -73.6% | 0.52 | 0.16 | 32.9x | 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 56-day average price crosses above the 144-day average
- Sell — Sell (to cash) when the 56-day average falls below the 144-day average