Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Derichebourg SA backtest
10 trend-following strategies were compared on the full daily history of Derichebourg SA. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.4%, MDD -46.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.9%, drawdown -96.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.8%, MDD -58.5%, Sharpe 0.57, 30% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 38.0%p (CAGR 10.4%, MDD -46.3%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=147, threshold=0.22 |
13.8% | -58.5% | 0.57 | 0.24 | 30.8x | 121 | 30% |
| ADX / DI 방향성 period=48, threshold=11 |
12.3% | -69.6% | 0.53 | 0.18 | 21.7x | 133 | 32% |
| SMA 크로스오버 fast=51, slow=118 |
13.2% | -59.2% | 0.52 | 0.22 | 26.9x | 57 | 48% |
| 볼린저 밴드 돌파 n=29, k=3.1 |
10.4% | -46.3% | 0.52 | 0.22 | 13.7x | 58 | 13% |
| Donchian 채널 돌파 entryN=102, exitN=73 |
10.8% | -69.9% | 0.46 | 0.15 | 15.4x | 33 | 41% |
| Parabolic SAR step=0.01, maxStep=0.1 |
11.1% | -71.7% | 0.45 | 0.15 | 16.4x | 320 | 49% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=24, mult=1.8 |
8.7% | -48.7% | 0.41 | 0.18 | 9.2x | 170 | 30% |
| Supertrend period=9, mult=3.3 |
8.9% | -67.4% | 0.40 | 0.13 | 9.7x | 166 | 50% |
| EMA 크로스오버 fast=46, slow=199 |
8.3% | -76.6% | 0.40 | 0.11 | 8.4x | 29 | 44% |
| MACD fast=15, slow=31, signal=11 |
4.1% | -79.6% | 0.29 | 0.05 | 2.9x | 394 | 50% |
| Buy and hold | 5.9% | -96.5% | 0.25 | 0.06 | 4.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 147-day return is greater than 22%
- Sell — Sell when the 147-day return drops to 22% or below