Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Watches of Switzerland Group PLC backtest
10 trend-following strategies were compared on the full daily history of Watches of Switzerland Group PLC. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 23.9%, MDD -34.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 12.4%, drawdown -79.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 27.1%, MDD -37.9%, Sharpe 0.96, 44% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 41.1%p (CAGR 23.9%, MDD -34.1%, exposure 47%).
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=48, exitN=26 |
27.1% | -37.9% | 0.96 | 0.71 | 5.7x | 16 | 44% |
| 볼린저 밴드 돌파 n=37, k=1.1 |
23.9% | -34.1% | 0.84 | 0.70 | 4.7x | 48 | 47% |
| Supertrend period=22, mult=3.2 |
27.0% | -55.7% | 0.84 | 0.48 | 5.6x | 24 | 61% |
| ROC 모멘텀 n=87, threshold=0.07 |
22.8% | -48.2% | 0.79 | 0.47 | 4.4x | 33 | 48% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=27, mult=1.4 |
19.9% | -36.4% | 0.76 | 0.55 | 3.7x | 38 | 44% |
| SMA 크로스오버 fast=56, slow=210 |
20.6% | -59.2% | 0.75 | 0.35 | 3.9x | 9 | 43% |
| EMA 크로스오버 fast=8, slow=109 |
20.5% | -47.2% | 0.74 | 0.43 | 3.9x | 21 | 51% |
| MACD fast=10, slow=70, signal=17 |
17.4% | -56.6% | 0.62 | 0.31 | 3.2x | 78 | 52% |
| ADX / DI 방향성 period=39, threshold=13 |
15.1% | -62.6% | 0.60 | 0.24 | 2.8x | 45 | 46% |
| Parabolic SAR step=0.035, maxStep=0.16 |
10.8% | -48.4% | 0.46 | 0.22 | 2.1x | 211 | 51% |
| Buy and hold | 12.4% | -79.0% | 0.49 | 0.16 | 2.3x | 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 48 days
- Sell — Sell when price breaks below the lowest low of the last 26 days