Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Vaudoise Assurances Holding SA backtest
10 trend-following strategies were compared on the full daily history of Vaudoise Assurances Holding SA. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.1%, MDD -37.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.0%, drawdown -72.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -37.2%, Sharpe 0.45, 60% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.4%, MDD -42.3%, exposure 77%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 7.1%, MDD -37.2%, exposure 60%).
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=25, slow=124 |
7.1% | -37.2% | 0.45 | 0.19 | 6.2x | 59 | 60% |
| Donchian 채널 돌파 entryN=42, exitN=102 |
7.4% | -42.3% | 0.44 | 0.18 | 6.7x | 33 | 77% |
| EMA 크로스오버 fast=26, slow=154 |
6.1% | -47.5% | 0.39 | 0.13 | 4.8x | 49 | 63% |
| ROC 모멘텀 n=107, threshold=-0.1 |
3.4% | -56.9% | 0.26 | 0.06 | 2.4x | 107 | 87% |
| Supertrend period=8, mult=5 |
2.0% | -47.8% | 0.20 | 0.04 | 1.7x | 52 | 60% |
| ADX / DI 방향성 period=27, threshold=38 |
0.4% | -7.0% | 0.14 | 0.06 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=8, mult=3.8 |
0.1% | -4.2% | 0.06 | 0.02 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
-0.7% | -50.9% | -0.00 | -0.01 | 0.8x | 64 | 22% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-3.8% | -74.9% | -0.11 | -0.05 | 0.4x | 326 | 53% |
| MACD fast=22, slow=37, signal=18 |
-8.1% | -91.6% | -0.37 | -0.09 | 0.1x | 355 | 48% |
| Buy and hold | 6.0% | -72.3% | 0.35 | 0.08 | 4.7x | 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 25-day average price crosses above the 124-day average
- Sell — Sell (to cash) when the 25-day average falls below the 124-day average