Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Credit Agricole SA backtest
10 trend-following strategies were compared on the full daily history of Credit Agricole SA. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.5%, MDD -32.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.8%, drawdown -91.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -47.8%, Sharpe 0.43, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 4.5%, MDD -32.7%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=85, exitN=65 |
6.8% | -47.8% | 0.43 | 0.14 | 5.1x | 35 | 51% |
| ROC 모멘텀 n=149, threshold=-0.01 |
6.8% | -45.8% | 0.41 | 0.15 | 5.1x | 143 | 58% |
| 볼린저 밴드 돌파 n=54, k=2.1 |
4.5% | -32.7% | 0.34 | 0.14 | 2.9x | 86 | 33% |
| EMA 크로스오버 fast=12, slow=225 |
4.7% | -46.7% | 0.33 | 0.10 | 3.1x | 45 | 56% |
| MACD fast=27, slow=51, signal=17 |
3.2% | -69.8% | 0.25 | 0.05 | 2.2x | 226 | 51% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=17, mult=1.7 |
2.9% | -51.1% | 0.24 | 0.06 | 2.0x | 152 | 40% |
| SMA 크로스오버 fast=62, slow=207 |
2.5% | -56.1% | 0.22 | 0.04 | 1.8x | 29 | 57% |
| Supertrend period=21, mult=4.9 |
1.2% | -59.2% | 0.16 | 0.02 | 1.3x | 82 | 54% |
| ADX / DI 방향성 period=26, threshold=14 |
0.6% | -52.9% | 0.12 | 0.01 | 1.1x | 214 | 35% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.6% | -70.8% | 0.06 | -0.02 | 0.7x | 234 | 55% |
| Buy and hold | 0.8% | -91.2% | 0.21 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 85 days
- Sell — Sell when price breaks below the lowest low of the last 65 days