Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Gaztransport & Technigaz SA backtest
10 trend-following strategies were compared on the full daily history of Gaztransport & Technigaz SA. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.8%, MDD -26.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.4%, drawdown -63.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.7%, MDD -39.0%, Sharpe 0.64, 68% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 10.8%, MDD -26.6%, exposure 53%).
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=24, slow=201 |
13.7% | -39.0% | 0.64 | 0.35 | 4.9x | 11 | 68% |
| ROC 모멘텀 n=85, threshold=0.03 |
10.8% | -26.6% | 0.57 | 0.41 | 3.6x | 108 | 53% |
| SMA 크로스오버 fast=8, slow=279 |
10.5% | -37.0% | 0.53 | 0.28 | 3.4x | 19 | 65% |
| Donchian 채널 돌파 entryN=63, exitN=56 |
8.2% | -31.7% | 0.47 | 0.26 | 2.7x | 22 | 57% |
| Supertrend period=19, mult=3.9 |
7.6% | -40.5% | 0.45 | 0.19 | 2.5x | 54 | 55% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=26, mult=3.4 |
5.0% | -31.4% | 0.41 | 0.16 | 1.8x | 34 | 26% |
| 볼린저 밴드 돌파 n=47, k=3.4 |
2.3% | -18.7% | 0.31 | 0.12 | 1.3x | 8 | 7% |
| ADX / DI 방향성 period=26, threshold=25 |
1.1% | -10.6% | 0.19 | 0.11 | 1.1x | 10 | 5% |
| MACD fast=18, slow=41, signal=16 |
-1.6% | -57.6% | 0.03 | -0.03 | 0.8x | 159 | 49% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.4% | -55.3% | -0.05 | -0.06 | 0.7x | 119 | 54% |
| Buy and hold | 12.4% | -63.4% | 0.52 | 0.19 | 4.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 24-day EMA crosses above the 201-day EMA
- Sell — Sell when the 24-day EMA falls below the 201-day EMA