Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Amundi SA backtest
10 trend-following strategies were compared on the full daily history of Amundi SA. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.6%, MDD -30.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -49.9%).
Sharpe leader (same as main): Supertrend — CAGR 6.6%, MDD -30.1%, Sharpe 0.42, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 19.8%p (CAGR 6.6%, MDD -30.1%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=2.5 |
6.6% | -30.1% | 0.42 | 0.22 | 2.0x | 103 | 61% |
| Donchian 채널 돌파 entryN=18, exitN=51 |
6.6% | -44.7% | 0.41 | 0.15 | 2.0x | 37 | 73% |
| 볼린저 밴드 돌파 n=28, k=1.2 |
4.6% | -29.0% | 0.36 | 0.16 | 1.6x | 107 | 46% |
| EMA 크로스오버 fast=54, slow=148 |
4.6% | -41.8% | 0.32 | 0.11 | 1.6x | 17 | 60% |
| SMA 크로스오버 fast=46, slow=151 |
4.5% | -46.5% | 0.32 | 0.10 | 1.6x | 21 | 57% |
| ROC 모멘텀 n=62, threshold=-0.06 |
2.6% | -46.9% | 0.23 | 0.06 | 1.3x | 99 | 75% |
| Parabolic SAR step=0.01, maxStep=0.28 |
2.5% | -37.7% | 0.22 | 0.07 | 1.3x | 147 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=26, mult=2.2 |
2.0% | -27.6% | 0.21 | 0.07 | 1.2x | 57 | 41% |
| ADX / DI 방향성 period=27, threshold=11 |
1.2% | -28.7% | 0.15 | 0.04 | 1.1x | 141 | 47% |
| MACD fast=16, slow=59, signal=19 |
0.2% | -42.3% | 0.10 | 0.01 | 1.0x | 121 | 53% |
| Buy and hold | 7.0% | -49.9% | 0.38 | 0.14 | 2.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)