Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Elior Group SA backtest
10 trend-following strategies were compared on the full daily history of Elior Group SA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -3.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.9%, drawdown -94.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.0%, MDD -9.9%, Sharpe 0.22, 1% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 1.8%, MDD -34.6%, exposure 5%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 84.1%p (CAGR 0.2%, MDD -3.4%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=3.4 |
1.0% | -9.9% | 0.22 | 0.11 | 1.1x | 2 | 1% |
| MACD fast=16, slow=36, signal=14 |
1.3% | -76.3% | 0.21 | 0.02 | 1.2x | 149 | 51% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=2.7 |
1.8% | -34.6% | 0.19 | 0.05 | 1.2x | 18 | 5% |
| ADX / DI 방향성 period=26, threshold=38 |
0.2% | -3.4% | 0.17 | 0.07 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=123, threshold=0.23 |
-0.3% | -52.5% | 0.07 | -0.01 | 1.0x | 52 | 13% |
| Donchian 채널 돌파 entryN=73, exitN=68 |
-4.2% | -64.3% | -0.02 | -0.06 | 0.6x | 18 | 49% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-6.7% | -72.9% | -0.03 | -0.09 | 0.4x | 227 | 48% |
| Supertrend period=15, mult=4.4 |
-6.3% | -66.8% | -0.04 | -0.09 | 0.5x | 44 | 51% |
| EMA 크로스오버 fast=57, slow=127 |
-7.6% | -76.1% | -0.16 | -0.10 | 0.4x | 18 | 44% |
| SMA 크로스오버 fast=24, slow=176 |
-8.1% | -74.5% | -0.17 | -0.11 | 0.4x | 24 | 44% |
| Buy and hold | -14.9% | -94.0% | -0.09 | -0.16 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 16-day middle average