Trend-Following Backtester · Guide · backtest 한국어
equity · FR
BNP Paribas S.A. Class A backtest
10 trend-following strategies were compared on the full daily history of BNP Paribas S.A. Class A. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -77.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.1%, MDD -52.5%, Sharpe 0.25, 61% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=47, slow=212 |
3.1% | -52.5% | 0.25 | 0.06 | 2.8x | 43 | 61% |
| SMA 크로스오버 fast=7, slow=284 |
2.7% | -59.0% | 0.23 | 0.05 | 2.4x | 87 | 60% |
| Donchian 채널 돌파 entryN=13, exitN=63 |
0.3% | -81.7% | 0.15 | 0.00 | 1.1x | 121 | 80% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
0.4% | -13.4% | 0.11 | 0.03 | 1.1x | 8 | 3% |
| ADX / DI 방향성 period=35, threshold=30 |
0.2% | -13.7% | 0.10 | 0.02 | 1.1x | 6 | 1% |
| Supertrend period=27, mult=2.8 |
-1.2% | -79.5% | 0.07 | -0.01 | 0.7x | 275 | 60% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=15, mult=2.6 |
-0.7% | -58.3% | 0.04 | -0.01 | 0.8x | 139 | 33% |
| MACD fast=24, slow=68, signal=13 |
-2.3% | -91.0% | 0.03 | -0.03 | 0.5x | 369 | 52% |
| ROC 모멘텀 n=140, threshold=-0.02 |
-3.3% | -89.9% | -0.02 | -0.04 | 0.3x | 347 | 62% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.1% | -87.8% | -0.05 | -0.05 | 0.3x | 303 | 55% |
| Buy and hold | 5.1% | -77.3% | 0.31 | 0.07 | 5.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 212-day EMA
- Sell — Sell when the 47-day EMA falls below the 212-day EMA