Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Swissquote Group Holding Ltd. backtest
10 trend-following strategies were compared on the full daily history of Swissquote Group Holding Ltd.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.2%, MDD -31.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.2%, drawdown -94.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 25.6%, MDD -53.1%, Sharpe 0.95, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 17.2%, MDD -31.9%, exposure 32%).
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=31, slow=77 |
25.6% | -53.1% | 0.95 | 0.48 | 389.6x | 51 | 55% |
| SMA 크로스오버 fast=13, slow=129 |
24.8% | -56.3% | 0.92 | 0.44 | 332.3x | 51 | 55% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=3.3 |
17.2% | -31.9% | 0.86 | 0.54 | 63.5x | 66 | 32% |
| ROC 모멘텀 n=91, threshold=0 |
22.7% | -71.1% | 0.85 | 0.32 | 210.8x | 179 | 56% |
| 볼린저 밴드 돌파 n=75, k=1.4 |
19.7% | -50.0% | 0.84 | 0.39 | 111.5x | 89 | 44% |
| Donchian 채널 돌파 entryN=94, exitN=48 |
18.5% | -36.1% | 0.80 | 0.51 | 84.9x | 42 | 47% |
| ADX / DI 방향성 period=35, threshold=13 |
14.9% | -38.6% | 0.77 | 0.39 | 37.8x | 156 | 31% |
| Supertrend period=7, mult=4.8 |
16.9% | -74.4% | 0.68 | 0.23 | 60.2x | 71 | 50% |
| Parabolic SAR step=0.015, maxStep=0.18 |
9.6% | -80.5% | 0.44 | 0.12 | 11.1x | 429 | 53% |
| MACD fast=15, slow=64, signal=11 |
7.0% | -78.7% | 0.37 | 0.09 | 5.9x | 349 | 50% |
| Buy and hold | 11.2% | -94.8% | 0.46 | 0.12 | 16.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 77-day EMA
- Sell — Sell when the 31-day EMA falls below the 77-day EMA