Trend-Following Backtester · Guide · backtest 한국어
equity · CH
VZ Holding AG backtest
10 trend-following strategies were compared on the full daily history of VZ Holding AG. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.5%, MDD -35.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.1%, drawdown -92.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.9%, MDD -37.4%, Sharpe 0.71, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 55.1%p (CAGR 12.5%, MDD -35.6%, exposure 63%).
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=85, exitN=72 |
12.9% | -37.4% | 0.71 | 0.34 | 10.4x | 21 | 60% |
| EMA 크로스오버 fast=50, slow=70 |
12.5% | -35.6% | 0.67 | 0.35 | 9.7x | 35 | 63% |
| SMA 크로스오버 fast=21, slow=162 |
11.9% | -40.5% | 0.65 | 0.29 | 8.8x | 39 | 62% |
| Supertrend period=14, mult=2.5 |
10.1% | -53.3% | 0.57 | 0.19 | 6.5x | 139 | 58% |
| ROC 모멘텀 n=74, threshold=-0.09 |
9.8% | -48.3% | 0.52 | 0.20 | 6.1x | 117 | 81% |
| Parabolic SAR step=0.005, maxStep=0.26 |
7.8% | -42.8% | 0.48 | 0.18 | 4.3x | 153 | 51% |
| 볼린저 밴드 돌파 n=39, k=1.2 |
6.1% | -43.1% | 0.42 | 0.14 | 3.1x | 155 | 47% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=22, mult=1.6 |
5.8% | -54.8% | 0.40 | 0.11 | 3.0x | 101 | 49% |
| ADX / DI 방향성 period=12, threshold=50 |
2.0% | -9.8% | 0.37 | 0.20 | 1.5x | 20 | 2% |
| MACD fast=17, slow=25, signal=16 |
1.1% | -66.8% | 0.16 | 0.02 | 1.2x | 270 | 51% |
| Buy and hold | 4.1% | -92.5% | 0.34 | 0.04 | 2.2x | 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 85 days
- Sell — Sell when price breaks below the lowest low of the last 72 days