Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Swiss Prime Site AG backtest
10 trend-following strategies were compared on the full daily history of Swiss Prime Site AG. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.3%, MDD -17.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 2.7%, drawdown -44.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.3%, MDD -17.3%, Sharpe 0.38, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 27.6%p (CAGR 2.3%, MDD -17.3%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=42, k=2.8 |
2.3% | -17.3% | 0.38 | 0.13 | 1.8x | 48 | 17% |
| ADX / DI 방향성 period=30, threshold=47 |
0.5% | -6.2% | 0.26 | 0.07 | 1.1x | 6 | 2% |
| SMA 크로스오버 fast=31, slow=106 |
2.1% | -35.0% | 0.23 | 0.06 | 1.7x | 62 | 56% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=8, mult=3.8 |
1.0% | -23.7% | 0.18 | 0.04 | 1.3x | 50 | 19% |
| ROC 모멘텀 n=17, threshold=0.18 |
0.3% | -3.5% | 0.16 | 0.07 | 1.1x | 2 | 0% |
| Supertrend period=21, mult=5 |
1.0% | -32.9% | 0.14 | 0.03 | 1.3x | 70 | 57% |
| Donchian 채널 돌파 entryN=87, exitN=46 |
0.9% | -25.9% | 0.14 | 0.04 | 1.3x | 62 | 44% |
| EMA 크로스오버 fast=42, slow=198 |
0.7% | -39.4% | 0.12 | 0.02 | 1.2x | 43 | 58% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.4% | -55.8% | -0.06 | -0.03 | 0.7x | 220 | 52% |
| MACD fast=24, slow=53, signal=20 |
-1.5% | -54.8% | -0.07 | -0.03 | 0.7x | 243 | 52% |
| Buy and hold | 2.7% | -44.9% | 0.24 | 0.06 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 42-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 42-day middle average