Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Eiffage SA backtest
10 trend-following strategies were compared on the full daily history of Eiffage SA. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.3%, MDD -37.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.7%, drawdown -87.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -37.3%, Sharpe 0.58, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 50.3%p (CAGR 10.3%, MDD -37.3%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=70, exitN=51 |
10.3% | -37.3% | 0.58 | 0.28 | 13.7x | 48 | 55% |
| EMA 크로스오버 fast=17, slow=168 |
9.1% | -56.9% | 0.50 | 0.16 | 10.2x | 52 | 65% |
| SMA 크로스오버 fast=10, slow=209 |
8.6% | -57.7% | 0.48 | 0.15 | 9.0x | 56 | 66% |
| ROC 모멘텀 n=100, threshold=-0.02 |
8.4% | -47.8% | 0.46 | 0.18 | 8.6x | 214 | 67% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=23, mult=2.7 |
2.8% | -12.5% | 0.43 | 0.22 | 2.1x | 22 | 2% |
| 볼린저 밴드 돌파 n=50, k=2.4 |
5.2% | -36.3% | 0.40 | 0.14 | 3.8x | 84 | 28% |
| Parabolic SAR step=0.005, maxStep=0.18 |
5.2% | -57.9% | 0.34 | 0.09 | 3.9x | 214 | 54% |
| Supertrend period=27, mult=2.9 |
3.7% | -68.3% | 0.27 | 0.05 | 2.6x | 208 | 58% |
| MACD fast=13, slow=28, signal=14 |
2.5% | -62.1% | 0.22 | 0.04 | 1.9x | 413 | 51% |
| ADX / DI 방향성 period=36, threshold=10 |
1.6% | -65.2% | 0.18 | 0.02 | 1.5x | 276 | 46% |
| Buy and hold | 9.7% | -87.6% | 0.44 | 0.11 | 11.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 70 days
- Sell — Sell when price breaks below the lowest low of the last 51 days