Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Temenos AG backtest
10 trend-following strategies were compared on the full daily history of Temenos AG. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.1%, MDD -48.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.4%, drawdown -94.2%).
Sharpe leader (same as main): Supertrend — CAGR 19.2%, MDD -76.0%, Sharpe 0.73, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 16.1%, MDD -48.2%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=3.1 |
19.2% | -76.0% | 0.73 | 0.25 | 81.3x | 142 | 58% |
| 볼린저 밴드 돌파 n=46, k=1.7 |
16.1% | -48.2% | 0.68 | 0.33 | 42.0x | 120 | 42% |
| SMA 크로스오버 fast=19, slow=77 |
16.1% | -77.0% | 0.65 | 0.21 | 42.4x | 84 | 57% |
| Donchian 채널 돌파 entryN=43, exitN=20 |
14.6% | -64.7% | 0.64 | 0.23 | 30.5x | 104 | 43% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=1.8 |
14.1% | -67.1% | 0.62 | 0.21 | 27.7x | 128 | 44% |
| ROC 모멘텀 n=46, threshold=0.01 |
13.8% | -71.9% | 0.57 | 0.19 | 25.9x | 319 | 54% |
| EMA 크로스오버 fast=49, slow=66 |
13.3% | -73.9% | 0.57 | 0.18 | 22.8x | 60 | 58% |
| ADX / DI 방향성 period=32, threshold=8 |
10.3% | -74.1% | 0.48 | 0.14 | 11.7x | 266 | 53% |
| MACD fast=23, slow=64, signal=19 |
5.3% | -70.0% | 0.32 | 0.08 | 3.7x | 216 | 53% |
| Parabolic SAR step=0.04, maxStep=0.08 |
2.4% | -87.4% | 0.23 | 0.03 | 1.8x | 505 | 55% |
| Buy and hold | 7.4% | -94.2% | 0.39 | 0.08 | 6.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)