Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Aeroports de Paris backtest
10 trend-following strategies were compared on the full daily history of Aeroports de Paris. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.2%, drawdown -64.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -16.8%, Sharpe 0.49, 7% 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=29, threshold=28 |
2.7% | -16.8% | 0.49 | 0.16 | 1.7x | 18 | 7% |
| 볼린저 밴드 돌파 n=71, k=3.3 |
2.5% | -26.9% | 0.38 | 0.09 | 1.7x | 12 | 11% |
| Donchian 채널 돌파 entryN=50, exitN=52 |
1.9% | -60.1% | 0.19 | 0.03 | 1.5x | 45 | 58% |
| SMA 크로스오버 fast=47, slow=193 |
1.7% | -55.7% | 0.18 | 0.03 | 1.4x | 34 | 57% |
| ROC 모멘텀 n=149, threshold=-0.04 |
-0.1% | -55.5% | 0.10 | -0.00 | 1.0x | 181 | 67% |
| EMA 크로스오버 fast=54, slow=61 |
-0.4% | -72.5% | 0.07 | -0.01 | 0.9x | 59 | 58% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=25, mult=3.3 |
-0.4% | -63.6% | 0.04 | -0.01 | 0.9x | 62 | 33% |
| Supertrend period=19, mult=4.3 |
-1.7% | -79.8% | 0.01 | -0.02 | 0.7x | 84 | 55% |
| MACD fast=21, slow=59, signal=19 |
-2.7% | -56.5% | -0.04 | -0.05 | 0.6x | 194 | 50% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-6.8% | -84.3% | -0.27 | -0.08 | 0.2x | 169 | 53% |
| Buy and hold | 4.2% | -64.3% | 0.28 | 0.07 | 2.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 29-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)