Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Fagron SA backtest
10 trend-following strategies were compared on the full daily history of Fagron SA. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.6%, MDD -39.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.0%, drawdown -90.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.2%, MDD -57.1%, Sharpe 0.63, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 10.6%, MDD -39.3%, exposure 62%).
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=53, slow=84 |
12.2% | -57.1% | 0.63 | 0.21 | 8.7x | 49 | 62% |
| Donchian 채널 돌파 entryN=66, exitN=64 |
10.6% | -39.3% | 0.56 | 0.27 | 6.6x | 27 | 62% |
| EMA 크로스오버 fast=48, slow=84 |
8.7% | -54.9% | 0.48 | 0.16 | 4.8x | 33 | 64% |
| ROC 모멘텀 n=147, threshold=-0.06 |
8.0% | -55.1% | 0.43 | 0.14 | 4.2x | 83 | 74% |
| Supertrend period=15, mult=5 |
5.6% | -59.3% | 0.35 | 0.10 | 2.8x | 49 | 63% |
| Parabolic SAR step=0.005, maxStep=0.28 |
4.3% | -70.9% | 0.30 | 0.06 | 2.2x | 148 | 57% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
3.3% | -34.9% | 0.29 | 0.10 | 1.9x | 60 | 32% |
| ADX / DI 방향성 period=27, threshold=39 |
0.8% | -12.8% | 0.27 | 0.06 | 1.2x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=26, mult=1.2 |
2.5% | -65.0% | 0.22 | 0.04 | 1.6x | 122 | 52% |
| MACD fast=17, slow=56, signal=19 |
-0.2% | -65.8% | 0.10 | -0.00 | 1.0x | 194 | 50% |
| Buy and hold | 5.0% | -90.7% | 0.31 | 0.06 | 2.5x | 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 53-day average price crosses above the 84-day average
- Sell — Sell (to cash) when the 53-day average falls below the 84-day average