Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Alzchem Group AG backtest
10 trend-following strategies were compared on the full daily history of Alzchem Group AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.4%, MDD -63.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.2%, drawdown -93.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.9%, MDD -77.9%, Sharpe 0.43, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 10.4%, MDD -63.2%, exposure 54%).
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=57, slow=94 |
11.9% | -77.9% | 0.43 | 0.15 | 11.7x | 35 | 34% |
| MACD fast=12, slow=34, signal=7 |
9.2% | -83.0% | 0.38 | 0.11 | 7.0x | 194 | 35% |
| Supertrend period=20, mult=4.9 |
9.2% | -91.7% | 0.33 | 0.10 | 6.8x | 52 | 72% |
| EMA 크로스오버 fast=50, slow=111 |
8.2% | -91.4% | 0.32 | 0.09 | 5.6x | 17 | 69% |
| 볼린저 밴드 돌파 n=11, k=2.2 |
10.4% | -63.2% | 0.32 | 0.16 | 8.7x | 98 | 54% |
| Donchian 채널 돌파 entryN=20, exitN=77 |
3.1% | -99.1% | 0.29 | 0.03 | 2.0x | 50 | 89% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=22, mult=3.7 |
6.0% | -56.6% | 0.24 | 0.11 | 3.6x | 36 | 49% |
| ROC 모멘텀 n=105, threshold=-0.04 |
1.2% | -98.1% | 0.24 | 0.01 | 1.3x | 105 | 75% |
| Parabolic SAR step=0.06, maxStep=0.12 |
-0.7% | -86.5% | 0.23 | -0.01 | 0.8x | 234 | 68% |
| ADX / DI 방향성 period=36, threshold=13 |
1.6% | -94.1% | 0.21 | 0.02 | 1.4x | 74 | 56% |
| Buy and hold | 10.2% | -93.7% | 0.42 | 0.11 | 8.5x | 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 57-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 57-day average falls below the 94-day average