Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Swiss Life Holding AG backtest
10 trend-following strategies were compared on the full daily history of Swiss Life Holding AG. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.6%, MDD -33.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.3%, drawdown -94.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.8%, MDD -38.4%, Sharpe 0.73, 65% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR 7.6%, MDD -33.9%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=39, slow=80 |
13.8% | -38.4% | 0.73 | 0.36 | 57.1x | 75 | 65% |
| Donchian 채널 돌파 entryN=75, exitN=60 |
12.7% | -43.3% | 0.69 | 0.29 | 42.7x | 49 | 61% |
| SMA 크로스오버 fast=23, slow=175 |
12.3% | -43.2% | 0.67 | 0.29 | 38.2x | 59 | 64% |
| ROC 모멘텀 n=134, threshold=-0.02 |
11.8% | -57.9% | 0.64 | 0.20 | 33.3x | 213 | 68% |
| Supertrend period=20, mult=4.3 |
11.9% | -56.0% | 0.64 | 0.21 | 33.9x | 133 | 60% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=21, mult=1.3 |
8.6% | -45.6% | 0.52 | 0.19 | 13.4x | 237 | 51% |
| ADX / DI 방향성 period=39, threshold=14 |
7.6% | -33.9% | 0.51 | 0.22 | 10.0x | 136 | 30% |
| 볼린저 밴드 돌파 n=45, k=1.2 |
8.7% | -38.2% | 0.50 | 0.23 | 13.6x | 213 | 48% |
| Parabolic SAR step=0.005, maxStep=0.26 |
7.9% | -61.0% | 0.43 | 0.13 | 10.8x | 259 | 55% |
| MACD fast=11, slow=41, signal=19 |
4.3% | -74.5% | 0.29 | 0.06 | 3.7x | 417 | 50% |
| Buy and hold | 6.3% | -94.5% | 0.35 | 0.07 | 6.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 80-day EMA
- Sell — Sell when the 39-day EMA falls below the 80-day EMA