Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Givaudan SA backtest
10 trend-following strategies were compared on the full daily history of Givaudan SA. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.3%, drawdown -53.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.9%, MDD -24.9%, Sharpe 0.64, 69% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=14, slow=189 |
8.9% | -24.9% | 0.64 | 0.36 | 9.9x | 29 | 69% |
| SMA 크로스오버 fast=11, slow=196 |
8.6% | -24.6% | 0.62 | 0.35 | 9.0x | 37 | 67% |
| Donchian 채널 돌파 entryN=95, exitN=83 |
7.1% | -34.3% | 0.54 | 0.21 | 6.3x | 27 | 65% |
| ROC 모멘텀 n=124, threshold=-0.04 |
5.6% | -40.4% | 0.42 | 0.14 | 4.3x | 129 | 72% |
| Supertrend period=17, mult=4.3 |
3.1% | -38.0% | 0.29 | 0.08 | 2.2x | 92 | 59% |
| 볼린저 밴드 돌파 n=18, k=3.3 |
6.7% | -8.8% | 0.19 | 0.76 | 5.7x | 16 | 2% |
| ADX / DI 방향성 period=38, threshold=9 |
5.1% | -55.2% | 0.18 | 0.09 | 3.8x | 259 | 51% |
| MACD fast=21, slow=22, signal=22 |
4.5% | -56.3% | 0.18 | 0.08 | 3.3x | 314 | 51% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=18, mult=1.4 |
2.1% | -76.5% | 0.15 | 0.03 | 1.8x | 260 | 38% |
| Parabolic SAR step=0.01, maxStep=0.38 |
0.9% | -79.1% | 0.14 | 0.01 | 1.3x | 380 | 55% |
| Buy and hold | 14.3% | -53.2% | 0.28 | 0.27 | 35.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 14-day EMA crosses above the 189-day EMA
- Sell — Sell when the 14-day EMA falls below the 189-day EMA