Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Dassault Aviation SA backtest
10 trend-following strategies were compared on the full daily history of Dassault Aviation SA. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.3%, MDD -31.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.5%, drawdown -63.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.3%, MDD -33.0%, Sharpe 0.61, 66% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 11.3%, MDD -31.7%, exposure 71%).
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=40, slow=178 |
11.3% | -33.0% | 0.61 | 0.34 | 17.3x | 34 | 66% |
| Donchian 채널 돌파 entryN=107, exitN=36 |
9.6% | -26.4% | 0.59 | 0.36 | 11.5x | 46 | 49% |
| EMA 크로스오버 fast=48, slow=189 |
11.3% | -31.7% | 0.59 | 0.36 | 17.2x | 23 | 71% |
| ROC 모멘텀 n=250, threshold=-0.09 |
9.9% | -43.7% | 0.51 | 0.23 | 12.3x | 55 | 78% |
| Supertrend period=5, mult=4.3 |
8.0% | -35.1% | 0.47 | 0.23 | 7.8x | 78 | 61% |
| 볼린저 밴드 돌파 n=72, k=3 |
3.9% | -31.6% | 0.34 | 0.12 | 2.8x | 56 | 27% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=3.7 |
2.5% | -46.4% | 0.25 | 0.05 | 1.9x | 62 | 27% |
| ADX / DI 방향성 period=37, threshold=12 |
2.7% | -61.2% | 0.24 | 0.04 | 2.0x | 226 | 35% |
| MACD fast=26, slow=38, signal=16 |
0.7% | -65.7% | 0.14 | 0.01 | 1.2x | 290 | 49% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.4% | -58.8% | 0.09 | -0.01 | 0.9x | 214 | 55% |
| Buy and hold | 10.5% | -63.3% | 0.48 | 0.17 | 14.3x | 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 40-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 40-day average falls below the 178-day average