Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Tecan Group AG backtest
10 trend-following strategies were compared on the full daily history of Tecan Group AG. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.1%, MDD -36.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.5%, drawdown -87.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.3%, MDD -40.7%, Sharpe 0.77, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 46.6%p (CAGR 15.1%, MDD -36.5%, exposure 59%).
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=61, slow=152 |
17.3% | -40.7% | 0.77 | 0.42 | 147.6x | 41 | 59% |
| EMA 크로스오버 fast=49, slow=119 |
16.4% | -38.0% | 0.74 | 0.43 | 117.9x | 45 | 62% |
| Donchian 채널 돌파 entryN=81, exitN=78 |
15.1% | -36.5% | 0.70 | 0.41 | 81.5x | 39 | 59% |
| ROC 모멘텀 n=137, threshold=0 |
11.2% | -56.3% | 0.55 | 0.20 | 28.0x | 213 | 63% |
| 볼린저 밴드 돌파 n=38, k=2.9 |
6.4% | -29.5% | 0.55 | 0.22 | 7.0x | 56 | 17% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=21, mult=3.5 |
7.2% | -48.6% | 0.47 | 0.15 | 8.8x | 91 | 33% |
| Parabolic SAR step=0.005, maxStep=0.3 |
8.4% | -76.2% | 0.45 | 0.11 | 12.6x | 247 | 55% |
| ADX / DI 방향성 period=32, threshold=16 |
6.5% | -51.4% | 0.43 | 0.13 | 7.1x | 185 | 31% |
| Supertrend period=19, mult=3.6 |
7.9% | -67.8% | 0.42 | 0.12 | 10.8x | 177 | 59% |
| MACD fast=23, slow=59, signal=24 |
2.3% | -77.4% | 0.21 | 0.03 | 2.0x | 271 | 51% |
| Buy and hold | 11.5% | -87.3% | 0.48 | 0.13 | 30.6x | 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 61-day average price crosses above the 152-day average
- Sell — Sell (to cash) when the 61-day average falls below the 152-day average