Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Straumann Holding AG backtest
10 trend-following strategies were compared on the full daily history of Straumann Holding AG. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.5%, MDD -53.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.1%, drawdown -73.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.5%, MDD -53.0%, Sharpe 0.67, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 20.5%p (CAGR 14.5%, MDD -53.0%, exposure 61%).
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=9, slow=203 |
14.5% | -53.0% | 0.67 | 0.27 | 44.6x | 53 | 61% |
| Donchian 채널 돌파 entryN=123, exitN=24 |
11.3% | -53.8% | 0.67 | 0.21 | 20.1x | 64 | 35% |
| EMA 크로스오버 fast=12, slow=145 |
13.7% | -56.2% | 0.65 | 0.24 | 36.3x | 69 | 61% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
7.2% | -25.3% | 0.64 | 0.28 | 7.0x | 14 | 9% |
| ADX / DI 방향성 period=38, threshold=16 |
9.3% | -60.1% | 0.61 | 0.15 | 12.1x | 96 | 24% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=1.9 |
10.9% | -46.9% | 0.59 | 0.23 | 18.4x | 140 | 47% |
| Supertrend period=28, mult=4.3 |
11.8% | -60.6% | 0.57 | 0.19 | 22.6x | 102 | 62% |
| ROC 모멘텀 n=88, threshold=0.03 |
10.0% | -68.9% | 0.53 | 0.15 | 14.6x | 283 | 55% |
| MACD fast=16, slow=73, signal=19 |
7.1% | -45.6% | 0.40 | 0.16 | 6.8x | 286 | 53% |
| Parabolic SAR step=0.015, maxStep=0.18 |
5.2% | -75.9% | 0.33 | 0.07 | 4.2x | 478 | 55% |
| Buy and hold | 15.1% | -73.4% | 0.57 | 0.20 | 51.0x | 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 9-day average price crosses above the 203-day average
- Sell — Sell (to cash) when the 9-day average falls below the 203-day average