Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Dassault Systemes SE backtest
10 trend-following strategies were compared on the full daily history of Dassault Systemes SE. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.9%, MDD -42.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.1%, drawdown -87.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.9%, MDD -42.0%, Sharpe 0.34, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 4.9%, MDD -42.0%, exposure 58%).
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=10, slow=97 |
4.9% | -42.0% | 0.34 | 0.12 | 3.6x | 99 | 58% |
| SMA 크로스오버 fast=56, slow=106 |
4.0% | -46.8% | 0.29 | 0.09 | 2.9x | 59 | 57% |
| Donchian 채널 돌파 entryN=52, exitN=120 |
4.3% | -69.5% | 0.29 | 0.06 | 3.0x | 33 | 74% |
| ADX / DI 방향성 period=41, threshold=17 |
2.7% | -23.9% | 0.28 | 0.11 | 2.0x | 66 | 19% |
| ROC 모멘텀 n=103, threshold=-0.1 |
3.9% | -61.9% | 0.28 | 0.06 | 2.8x | 163 | 77% |
| Supertrend period=25, mult=4.9 |
3.5% | -55.8% | 0.26 | 0.06 | 2.5x | 73 | 60% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
1.0% | -12.1% | 0.20 | 0.08 | 1.3x | 14 | 6% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=22, mult=3.1 |
0.6% | -28.9% | 0.11 | 0.02 | 1.2x | 43 | 8% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.3% | -83.5% | -0.03 | -0.04 | 0.4x | 225 | 55% |
| MACD fast=30, slow=56, signal=18 |
-3.4% | -81.7% | -0.05 | -0.04 | 0.4x | 231 | 51% |
| Buy and hold | 4.1% | -87.0% | 0.29 | 0.05 | 2.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 10-day EMA crosses above the 97-day EMA
- Sell — Sell when the 10-day EMA falls below the 97-day EMA