Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Air Liquide SA backtest
10 trend-following strategies were compared on the full daily history of Air Liquide SA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -41.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -29.9%, Sharpe 0.36, 74% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=57, slow=223 |
5.0% | -29.9% | 0.36 | 0.17 | 3.7x | 31 | 74% |
| ROC 모멘텀 n=113, threshold=-0.11 |
4.3% | -47.5% | 0.30 | 0.09 | 3.1x | 93 | 93% |
| Donchian 채널 돌파 entryN=43, exitN=137 |
3.6% | -39.0% | 0.28 | 0.09 | 2.6x | 31 | 83% |
| EMA 크로스오버 fast=36, slow=216 |
3.0% | -36.3% | 0.25 | 0.08 | 2.2x | 43 | 76% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=18, mult=3.9 |
0.1% | -1.5% | 0.17 | 0.08 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=38, threshold=24 |
0.1% | -6.6% | 0.10 | 0.02 | 1.0x | 2 | 1% |
| 볼린저 밴드 돌파 n=14, k=2.9 |
0.1% | -11.0% | 0.05 | 0.01 | 1.0x | 20 | 3% |
| Supertrend period=15, mult=4.8 |
-2.0% | -48.8% | -0.05 | -0.04 | 0.6x | 83 | 59% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-7.4% | -88.7% | -0.41 | -0.08 | 0.1x | 258 | 55% |
| MACD fast=15, slow=23, signal=12 |
-10.2% | -94.9% | -0.61 | -0.11 | 0.1x | 500 | 50% |
| Buy and hold | 7.7% | -41.2% | 0.43 | 0.19 | 7.1x | 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 57-day average price crosses above the 223-day average
- Sell — Sell (to cash) when the 57-day average falls below the 223-day average