Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Vontobel Holding AG backtest
10 trend-following strategies were compared on the full daily history of Vontobel Holding AG. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.6%, MDD -34.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.8%, drawdown -79.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.7%, MDD -50.4%, Sharpe 0.39, 55% exposure.
CAGR reference leader: Parabolic SAR — CAGR 5.9%, MDD -43.5%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 4.6%, MDD -34.8%, exposure 36%).
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=31, slow=234 |
5.7% | -50.4% | 0.39 | 0.11 | 4.1x | 37 | 55% |
| Parabolic SAR step=0.01, maxStep=0.12 |
5.9% | -43.5% | 0.39 | 0.14 | 4.3x | 315 | 53% |
| Supertrend period=15, mult=2.3 |
5.9% | -49.0% | 0.38 | 0.12 | 4.2x | 235 | 58% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
4.6% | -34.8% | 0.37 | 0.13 | 3.1x | 99 | 36% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=11, mult=1.4 |
4.6% | -43.7% | 0.36 | 0.10 | 3.1x | 227 | 36% |
| EMA 크로스오버 fast=52, slow=201 |
4.9% | -51.2% | 0.35 | 0.10 | 3.4x | 27 | 57% |
| ROC 모멘텀 n=148, threshold=-0.01 |
4.2% | -44.7% | 0.31 | 0.09 | 2.8x | 163 | 58% |
| Donchian 채널 돌파 entryN=78, exitN=23 |
3.3% | -47.7% | 0.30 | 0.07 | 2.3x | 69 | 33% |
| ADX / DI 방향성 period=21, threshold=22 |
2.9% | -35.5% | 0.28 | 0.08 | 2.1x | 127 | 23% |
| MACD fast=11, slow=55, signal=17 |
3.5% | -52.0% | 0.27 | 0.07 | 2.3x | 317 | 51% |
| Buy and hold | 1.8% | -79.8% | 0.21 | 0.02 | 1.6x | 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 31-day average price crosses above the 234-day average
- Sell — Sell (to cash) when the 31-day average falls below the 234-day average