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 SMA 크로스오버 (CAGR 12.6%, MDD -74.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.5%, drawdown -93.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.6%, MDD -74.8%, Sharpe 0.45, 34% exposure.
CAGR reference leader: MACD — CAGR 12.9%, MDD -83.2%, exposure 60%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 12.6%, MDD -74.8%, exposure 34%).
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=100 |
12.6% | -74.8% | 0.45 | 0.17 | 13.7x | 36 | 34% |
| MACD fast=7, slow=33, signal=10 |
12.9% | -83.2% | 0.38 | 0.15 | 14.4x | 211 | 60% |
| EMA 크로스오버 fast=69, slow=173 |
6.2% | -86.1% | 0.34 | 0.07 | 3.8x | 11 | 33% |
| Supertrend period=26, mult=2.6 |
8.1% | -89.8% | 0.31 | 0.09 | 5.6x | 112 | 69% |
| 볼린저 밴드 돌파 n=11, k=2.3 |
9.4% | -63.2% | 0.30 | 0.15 | 7.2x | 94 | 53% |
| Donchian 채널 돌파 entryN=18, exitN=52 |
2.9% | -99.3% | 0.28 | 0.03 | 1.9x | 60 | 88% |
| ADX / DI 방향성 period=6, threshold=20 |
6.5% | -78.5% | 0.27 | 0.08 | 4.0x | 251 | 63% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=3.5 |
6.4% | -83.4% | 0.26 | 0.08 | 3.9x | 40 | 54% |
| ROC 모멘텀 n=69, threshold=-0.09 |
1.6% | -98.3% | 0.26 | 0.02 | 1.4x | 95 | 84% |
| Parabolic SAR step=0.06, maxStep=0.12 |
-0.8% | -86.5% | 0.22 | -0.01 | 0.8x | 235 | 68% |
| Buy and hold | 10.5% | -93.7% | 0.42 | 0.11 | 9.1x | 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 100-day average
- Sell — Sell (to cash) when the 57-day average falls below the 100-day average