Trend-Following Backtester · Guide · backtest 한국어
equity · FR
VINCI SA backtest
10 trend-following strategies were compared on the full daily history of VINCI 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 9.3%, drawdown -63.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -52.6%, Sharpe 0.47, 63% 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=28, slow=151 |
7.3% | -52.6% | 0.47 | 0.14 | 6.5x | 46 | 63% |
| Donchian 채널 돌파 entryN=96, exitN=131 |
6.8% | -47.5% | 0.43 | 0.14 | 5.7x | 23 | 76% |
| EMA 크로스오버 fast=53, slow=86 |
6.2% | -44.8% | 0.41 | 0.14 | 4.9x | 50 | 65% |
| Supertrend period=17, mult=4.4 |
3.5% | -53.2% | 0.28 | 0.07 | 2.5x | 88 | 61% |
| ROC 모멘텀 n=74, threshold=-0.08 |
3.8% | -58.7% | 0.28 | 0.07 | 2.7x | 193 | 84% |
| ADX / DI 방향성 period=38, threshold=25 |
0.7% | -9.0% | 0.23 | 0.08 | 1.2x | 10 | 3% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-0.7% | -71.4% | 0.06 | -0.01 | 0.8x | 182 | 67% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=3.4 |
-0.3% | -34.7% | -0.00 | -0.01 | 0.9x | 56 | 16% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
-0.1% | -13.0% | -0.01 | -0.01 | 1.0x | 12 | 2% |
| MACD fast=26, slow=45, signal=24 |
-2.0% | -58.1% | -0.02 | -0.03 | 0.6x | 238 | 51% |
| Buy and hold | 9.3% | -63.5% | 0.45 | 0.15 | 10.6x | 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 28-day average price crosses above the 151-day average
- Sell — Sell (to cash) when the 28-day average falls below the 151-day average