Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Euronext NV backtest
10 trend-following strategies were compared on the full daily history of Euronext NV. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.5%, MDD -29.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.7%, drawdown -42.3%).
Sharpe leader (same as main): Supertrend — CAGR 17.5%, MDD -29.1%, Sharpe 0.96, 64% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 13.1%p (CAGR 17.5%, MDD -29.1%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=4.8 |
17.5% | -29.1% | 0.96 | 0.60 | 7.1x | 29 | 64% |
| Donchian 채널 돌파 entryN=92, exitN=44 |
15.6% | -27.0% | 0.93 | 0.58 | 5.8x | 19 | 55% |
| EMA 크로스오버 fast=12, slow=85 |
16.4% | -27.7% | 0.88 | 0.59 | 6.3x | 41 | 65% |
| SMA 크로스오버 fast=48, slow=118 |
16.5% | -31.1% | 0.82 | 0.53 | 6.4x | 19 | 64% |
| ROC 모멘텀 n=126, threshold=0.03 |
12.7% | -26.5% | 0.74 | 0.48 | 4.3x | 61 | 59% |
| 볼린저 밴드 돌파 n=32, k=3.3 |
5.8% | -18.5% | 0.73 | 0.31 | 2.0x | 12 | 10% |
| ADX / DI 방향성 period=31, threshold=27 |
4.9% | -8.0% | 0.70 | 0.62 | 1.8x | 8 | 8% |
| MACD fast=18, slow=43, signal=18 |
10.4% | -29.3% | 0.68 | 0.35 | 3.3x | 123 | 52% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=22, mult=4 |
5.8% | -18.7% | 0.61 | 0.31 | 2.0x | 22 | 18% |
| Parabolic SAR step=0.01, maxStep=0.38 |
5.6% | -31.1% | 0.39 | 0.18 | 1.9x | 173 | 55% |
| Buy and hold | 19.7% | -42.3% | 0.82 | 0.47 | 8.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)