Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Marcopolo SA backtest
10 trend-following strategies were compared on the full daily history of Marcopolo SA. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 14.2%, MDD -58.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.0%, drawdown -77.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.6%, MDD -67.2%, Sharpe 0.60, 60% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 10.5%p (CAGR 14.2%, MDD -58.3%, exposure 59%).
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=78, slow=178 |
16.6% | -67.2% | 0.60 | 0.25 | 58.5x | 40 | 60% |
| Donchian 채널 돌파 entryN=23, exitN=77 |
15.3% | -76.2% | 0.56 | 0.20 | 44.0x | 62 | 83% |
| Parabolic SAR step=0.005, maxStep=0.04 |
14.2% | -58.3% | 0.55 | 0.24 | 33.9x | 142 | 59% |
| ROC 모멘텀 n=155, threshold=0.01 |
14.2% | -61.2% | 0.55 | 0.23 | 34.0x | 130 | 59% |
| ADX / DI 방향성 period=15, threshold=30 |
11.3% | -25.8% | 0.53 | 0.44 | 17.1x | 106 | 27% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=8, mult=2.7 |
11.7% | -46.3% | 0.51 | 0.25 | 18.7x | 100 | 41% |
| EMA 크로스오버 fast=4, slow=114 |
12.5% | -70.0% | 0.51 | 0.18 | 23.0x | 134 | 59% |
| Supertrend period=12, mult=3.2 |
12.0% | -53.3% | 0.50 | 0.23 | 20.5x | 160 | 55% |
| 볼린저 밴드 돌파 n=39, k=1.1 |
10.1% | -44.8% | 0.45 | 0.22 | 12.7x | 192 | 49% |
| MACD fast=19, slow=49, signal=16 |
7.6% | -71.2% | 0.42 | 0.11 | 7.0x | 252 | 51% |
| Buy and hold | 16.0% | -77.7% | 0.55 | 0.21 | 52.0x | 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 78-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 78-day average falls below the 178-day average