Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Financiere de Tubize S.A. backtest
10 trend-following strategies were compared on the full daily history of Financiere de Tubize S.A.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.2%, MDD -52.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.3%, drawdown -79.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.2%, MDD -56.3%, Sharpe 0.41, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 23.5%p (CAGR 7.2%, MDD -52.5%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=60, slow=206 |
7.2% | -56.3% | 0.41 | 0.13 | 6.4x | 37 | 66% |
| SMA 크로스오버 fast=57, slow=211 |
7.2% | -52.5% | 0.41 | 0.14 | 6.3x | 44 | 62% |
| Donchian 채널 돌파 entryN=98, exitN=46 |
4.9% | -59.8% | 0.35 | 0.08 | 3.6x | 54 | 45% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=3.3 |
3.8% | -42.2% | 0.31 | 0.09 | 2.7x | 82 | 31% |
| 볼린저 밴드 돌파 n=40, k=3.1 |
1.9% | -41.3% | 0.22 | 0.05 | 1.6x | 50 | 15% |
| Supertrend period=13, mult=4.3 |
2.4% | -63.3% | 0.22 | 0.04 | 1.9x | 108 | 54% |
| ADX / DI 방향성 period=38, threshold=21 |
1.2% | -38.7% | 0.17 | 0.03 | 1.4x | 46 | 8% |
| MACD fast=19, slow=59, signal=19 |
1.0% | -59.3% | 0.15 | 0.02 | 1.3x | 286 | 51% |
| ROC 모멘텀 n=139, threshold=0.05 |
0.7% | -73.5% | 0.14 | 0.01 | 1.2x | 316 | 50% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.8% | -55.4% | 0.07 | -0.01 | 0.8x | 350 | 53% |
| Buy and hold | 7.3% | -79.9% | 0.37 | 0.09 | 6.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 60-day EMA crosses above the 206-day EMA
- Sell — Sell when the 60-day EMA falls below the 206-day EMA