Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Proximus SA backtest
10 trend-following strategies were compared on the full daily history of Proximus SA. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -6.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.0%, drawdown -86.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.1%, MDD -27.9%, Sharpe 0.17, 13% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 58.7%p (CAGR 0.2%, MDD -6.2%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=50, threshold=13 |
1.1% | -27.9% | 0.17 | 0.04 | 1.3x | 52 | 13% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
0.6% | -14.5% | 0.15 | 0.04 | 1.1x | 14 | 5% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=3.1 |
0.9% | -23.4% | 0.15 | 0.04 | 1.2x | 44 | 16% |
| ROC 모멘텀 n=9, threshold=0.13 |
0.2% | -6.2% | 0.12 | 0.04 | 1.1x | 12 | 0% |
| SMA 크로스오버 fast=35, slow=126 |
0.7% | -48.9% | 0.12 | 0.01 | 1.2x | 46 | 41% |
| Donchian 채널 돌파 entryN=55, exitN=57 |
0.0% | -44.3% | 0.08 | 0.00 | 1.0x | 40 | 44% |
| EMA 크로스오버 fast=57, slow=110 |
-0.5% | -46.0% | 0.04 | -0.01 | 0.9x | 38 | 40% |
| Supertrend period=27, mult=4.9 |
-4.6% | -78.8% | -0.21 | -0.06 | 0.4x | 64 | 41% |
| MACD fast=30, slow=58, signal=12 |
-10.8% | -95.3% | -0.57 | -0.11 | 0.1x | 231 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-13.1% | -97.3% | -0.77 | -0.13 | 0.0x | 409 | 50% |
| Buy and hold | -6.0% | -86.6% | -0.13 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 50-day) is ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)