Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Valeo SE backtest
10 trend-following strategies were compared on the full daily history of Valeo SE. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.6%, MDD -13.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.0%, drawdown -90.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -13.8%, Sharpe 0.35, 3% exposure.
CAGR reference leader: MACD — CAGR 3.5%, MDD -53.3%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 76.3%p (CAGR 1.6%, MDD -13.8%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=27 |
1.6% | -13.8% | 0.35 | 0.12 | 1.5x | 10 | 3% |
| MACD fast=24, slow=36, signal=24 |
3.5% | -53.3% | 0.26 | 0.07 | 2.5x | 251 | 52% |
| Supertrend period=32, mult=3.2 |
3.1% | -69.9% | 0.24 | 0.04 | 2.3x | 163 | 51% |
| EMA 크로스오버 fast=12, slow=180 |
2.1% | -64.8% | 0.20 | 0.03 | 1.7x | 79 | 48% |
| Donchian 채널 돌파 entryN=10, exitN=65 |
1.0% | -80.9% | 0.19 | 0.01 | 1.3x | 101 | 79% |
| 볼린저 밴드 돌파 n=45, k=1.1 |
1.5% | -73.8% | 0.18 | 0.02 | 1.5x | 187 | 42% |
| ROC 모멘텀 n=148, threshold=0.11 |
1.6% | -60.8% | 0.18 | 0.03 | 1.5x | 197 | 33% |
| SMA 크로스오버 fast=18, slow=244 |
1.4% | -70.2% | 0.17 | 0.02 | 1.4x | 59 | 47% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=3.3 |
1.1% | -59.8% | 0.15 | 0.02 | 1.3x | 72 | 24% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-3.6% | -81.5% | -0.00 | -0.04 | 0.4x | 487 | 52% |
| Buy and hold | -2.0% | -90.1% | 0.15 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)