Trend-Following Backtester · Guide · backtest 한국어
equity · BR
C&A Modas SA backtest
10 trend-following strategies were compared on the full daily history of C&A Modas SA. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.0%, MDD -37.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.8%, drawdown -90.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.8%, MDD -41.8%, Sharpe 0.64, 30% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 18.3%, MDD -41.0%, exposure 45%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 27.5%p higher than buy and hold, while drawdown improves by 48.2%p (CAGR 9.0%, MDD -37.5%, exposure 23%).
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=50, threshold=0.14 |
16.8% | -41.8% | 0.64 | 0.40 | 2.9x | 52 | 30% |
| EMA 크로스오버 fast=46, slow=80 |
18.3% | -41.0% | 0.64 | 0.45 | 3.1x | 10 | 45% |
| SMA 크로스오버 fast=23, slow=177 |
15.8% | -42.4% | 0.58 | 0.37 | 2.7x | 14 | 46% |
| Donchian 채널 돌파 entryN=76, exitN=21 |
9.0% | -37.5% | 0.45 | 0.24 | 1.8x | 14 | 23% |
| 볼린저 밴드 돌파 n=33, k=2 |
9.4% | -49.9% | 0.43 | 0.19 | 1.8x | 36 | 27% |
| Supertrend period=6, mult=5 |
7.3% | -64.1% | 0.38 | 0.11 | 1.6x | 20 | 55% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=3 |
5.8% | -41.8% | 0.34 | 0.14 | 1.5x | 16 | 20% |
| ADX / DI 방향성 period=35, threshold=7 |
4.7% | -59.4% | 0.32 | 0.08 | 1.4x | 76 | 54% |
| Parabolic SAR step=0.015, maxStep=0.36 |
4.4% | -58.7% | 0.32 | 0.08 | 1.3x | 119 | 48% |
| MACD fast=16, slow=67, signal=17 |
4.0% | -64.9% | 0.31 | 0.06 | 1.3x | 72 | 50% |
| Buy and hold | -10.8% | -90.0% | 0.15 | -0.12 | 0.5x | 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 50-day return is greater than 14%
- Sell — Sell when the 50-day return drops to 14% or below