Trend-Following Backtester · Guide · backtest 한국어
equity · BE
D'Ieteren Group SA/NV backtest
10 trend-following strategies were compared on the full daily history of D'Ieteren Group SA/NV. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.0%, MDD -23.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.9%, drawdown -82.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.8%, MDD -49.5%, Sharpe 0.54, 37% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 6.0%, MDD -23.7%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=77, threshold=0.07 |
8.8% | -49.5% | 0.54 | 0.18 | 9.3x | 247 | 37% |
| ADX / DI 방향성 period=47, threshold=19 |
6.0% | -23.7% | 0.52 | 0.25 | 4.7x | 28 | 15% |
| SMA 크로스오버 fast=56, slow=97 |
8.4% | -59.5% | 0.47 | 0.14 | 8.5x | 70 | 54% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=12, mult=4 |
6.5% | -46.3% | 0.47 | 0.14 | 5.4x | 52 | 28% |
| Supertrend period=25, mult=5 |
8.2% | -66.2% | 0.45 | 0.12 | 8.2x | 73 | 57% |
| Donchian 채널 돌파 entryN=83, exitN=27 |
6.3% | -61.1% | 0.43 | 0.10 | 5.1x | 64 | 35% |
| EMA 크로스오버 fast=57, slow=62 |
5.1% | -70.4% | 0.34 | 0.07 | 3.8x | 65 | 53% |
| 볼린저 밴드 돌파 n=49, k=3.1 |
3.3% | -31.1% | 0.32 | 0.11 | 2.4x | 36 | 14% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.2% | -63.3% | 0.17 | 0.02 | 1.4x | 207 | 54% |
| MACD fast=13, slow=52, signal=19 |
-2.8% | -76.1% | -0.00 | -0.04 | 0.5x | 327 | 51% |
| Buy and hold | 5.9% | -82.0% | 0.33 | 0.07 | 4.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 77-day return is greater than 7%
- Sell — Sell when the 77-day return drops to 7% or below