Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Sonova Holding AG backtest
10 trend-following strategies were compared on the full daily history of Sonova Holding AG. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.1%, MDD -29.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.8%, drawdown -78.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.1%, MDD -29.7%, Sharpe 0.57, 46% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.0%, MDD -53.4%, exposure 59%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 48.5%p (CAGR 9.1%, MDD -29.7%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=111, threshold=0.06 |
9.1% | -29.7% | 0.57 | 0.31 | 8.8x | 159 | 46% |
| Donchian 채널 돌파 entryN=64, exitN=69 |
11.0% | -53.4% | 0.54 | 0.21 | 13.5x | 35 | 59% |
| SMA 크로스오버 fast=42, slow=114 |
8.3% | -44.5% | 0.50 | 0.19 | 7.3x | 53 | 57% |
| EMA 크로스오버 fast=37, slow=116 |
8.7% | -54.5% | 0.45 | 0.16 | 8.0x | 45 | 61% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=21, mult=2.6 |
7.5% | -33.8% | 0.44 | 0.22 | 6.0x | 85 | 41% |
| Supertrend period=19, mult=4.3 |
8.2% | -58.4% | 0.44 | 0.14 | 7.1x | 87 | 58% |
| 볼린저 밴드 돌파 n=57, k=2.2 |
6.3% | -32.1% | 0.40 | 0.19 | 4.5x | 73 | 34% |
| ADX / DI 방향성 period=39, threshold=13 |
5.3% | -34.3% | 0.35 | 0.16 | 3.6x | 140 | 33% |
| Parabolic SAR step=0.015, maxStep=0.1 |
0.4% | -72.6% | 0.13 | 0.00 | 1.1x | 395 | 56% |
| MACD fast=8, slow=26, signal=18 |
0.0% | -62.5% | 0.10 | 0.00 | 1.0x | 409 | 49% |
| Buy and hold | 7.8% | -78.2% | 0.38 | 0.10 | 6.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 111-day return is greater than 6%
- Sell — Sell when the 111-day return drops to 6% or below