Trend-Following Backtester · Guide · backtest 한국어

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Amadeus IT Group SA Class A backtest

10 trend-following strategies were compared on the full daily history of Amadeus IT Group SA Class A. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.

Data 2010-04-29 ~ 2026-07-31daily bars 4,160 (16.3 years)Costs 0.5%Venue BMEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.6%, drawdown -57.1%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.4%, MDD -26.6%, Sharpe 0.42, 26% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 5.6%, MDD -51.7%, exposure 67%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=76, k=2.7
4.4%-26.6%0.420.162.0x2626%
Keltner 채널 돌파
emaPeriod=99, atrPeriod=7, mult=4
4.4%-31.6%0.410.142.0x2834%
Donchian 채널 돌파
entryN=61, exitN=95
5.6%-51.7%0.380.112.4x2167%
EMA 크로스오버
fast=42, slow=85
5.3%-55.5%0.370.092.3x3064%
Supertrend
period=16, mult=4.9
3.7%-53.1%0.280.071.8x4561%
SMA 크로스오버
fast=15, slow=179
3.4%-66.0%0.270.051.7x4262%
ROC 모멘텀
n=131, threshold=0.08
2.1%-48.9%0.210.041.4x14044%
ADX / DI 방향성
period=49, threshold=14
0.9%-28.2%0.150.031.2x3618%
MACD
fast=28, slow=62, signal=19
-2.8%-61.1%-0.06-0.050.6x15152%
Parabolic SAR
step=0.01, maxStep=0.36
-6.0%-63.8%-0.22-0.090.4x25555%
Buy and hold9.6%-57.1%0.470.174.5x1100%
1x 2011 2013 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -14% -29% -43% -57% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -26.6% (2020-12-07 → 2023-02-21), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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