Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Eurofins Scientific SE backtest
10 trend-following strategies were compared on the full daily history of Eurofins Scientific SE. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 21.6%, MDD -67.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.7%, drawdown -86.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 21.6%, MDD -67.1%, Sharpe 0.77, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 19.2%p (CAGR 21.6%, MDD -67.1%, exposure 61%).
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=29, slow=298 |
21.6% | -67.1% | 0.77 | 0.32 | 276.8x | 19 | 61% |
| Donchian 채널 돌파 entryN=4, exitN=94 |
21.2% | -79.0% | 0.66 | 0.27 | 253.9x | 79 | 95% |
| Parabolic SAR step=0.01, maxStep=0.2 |
16.3% | -60.6% | 0.63 | 0.27 | 76.6x | 336 | 53% |
| SMA 크로스오버 fast=50, slow=80 |
15.9% | -57.6% | 0.61 | 0.28 | 69.0x | 101 | 60% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
10.1% | -36.0% | 0.58 | 0.28 | 15.9x | 46 | 21% |
| ROC 모멘텀 n=98, threshold=-0.08 |
15.7% | -78.9% | 0.58 | 0.20 | 65.9x | 197 | 74% |
| MACD fast=27, slow=64, signal=14 |
14.2% | -70.6% | 0.58 | 0.20 | 45.8x | 288 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=10, mult=2.7 |
12.1% | -57.3% | 0.56 | 0.21 | 26.8x | 124 | 38% |
| Supertrend period=19, mult=2.6 |
11.3% | -77.5% | 0.49 | 0.15 | 21.8x | 280 | 56% |
| ADX / DI 방향성 period=38, threshold=18 |
8.3% | -55.5% | 0.46 | 0.15 | 9.9x | 108 | 21% |
| Buy and hold | 22.7% | -86.2% | 0.67 | 0.26 | 362.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 29-day EMA crosses above the 298-day EMA
- Sell — Sell when the 29-day EMA falls below the 298-day EMA