Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Swatch Group Ltd. Bearer backtest
10 trend-following strategies were compared on the full daily history of Swatch Group Ltd. Bearer. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -13.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.5%, drawdown -78.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -36.0%, Sharpe 0.63, 36% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 1.8%, MDD -13.3%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=118, exitN=41 |
9.6% | -36.0% | 0.63 | 0.27 | 13.1x | 34 | 36% |
| SMA 크로스오버 fast=59, slow=201 |
9.2% | -50.2% | 0.54 | 0.18 | 11.8x | 29 | 49% |
| 볼린저 밴드 돌파 n=125, k=1.7 |
7.9% | -31.1% | 0.53 | 0.25 | 8.4x | 50 | 39% |
| EMA 크로스오버 fast=42, slow=125 |
7.5% | -47.1% | 0.46 | 0.16 | 7.5x | 39 | 51% |
| ROC 모멘텀 n=124, threshold=-0.01 |
6.6% | -49.2% | 0.41 | 0.13 | 6.0x | 178 | 53% |
| ADX / DI 방향성 period=30, threshold=26 |
1.8% | -13.3% | 0.31 | 0.14 | 1.7x | 18 | 5% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=35, mult=2.8 |
1.5% | -45.6% | 0.17 | 0.03 | 1.5x | 100 | 32% |
| Supertrend period=25, mult=4.7 |
0.1% | -69.6% | 0.11 | 0.00 | 1.0x | 100 | 53% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.3% | -80.8% | -0.05 | -0.04 | 0.4x | 236 | 52% |
| MACD fast=17, slow=36, signal=13 |
-7.2% | -93.5% | -0.22 | -0.08 | 0.1x | 392 | 51% |
| Buy and hold | 1.5% | -78.9% | 0.21 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 118 days
- Sell — Sell when price breaks below the lowest low of the last 41 days