Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Ipsen SA backtest
10 trend-following strategies were compared on the full daily history of Ipsen SA. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.1%, MDD -45.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -75.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.1%, MDD -45.0%, Sharpe 0.52, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 30.8%p (CAGR 9.1%, MDD -45.0%, 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=57, slow=321 |
9.1% | -45.0% | 0.52 | 0.20 | 6.0x | 17 | 61% |
| ADX / DI 방향성 period=29, threshold=31 |
2.5% | -16.6% | 0.51 | 0.15 | 1.7x | 8 | 4% |
| Supertrend period=10, mult=3.9 |
7.9% | -42.0% | 0.47 | 0.19 | 4.8x | 95 | 56% |
| SMA 크로스오버 fast=59, slow=134 |
6.7% | -49.0% | 0.42 | 0.14 | 3.8x | 39 | 60% |
| 볼린저 밴드 돌파 n=50, k=3.2 |
2.5% | -28.7% | 0.35 | 0.09 | 1.6x | 20 | 10% |
| ROC 모멘텀 n=125, threshold=-0.02 |
4.8% | -54.7% | 0.33 | 0.09 | 2.6x | 157 | 61% |
| Donchian 채널 돌파 entryN=13, exitN=28 |
4.8% | -70.6% | 0.31 | 0.07 | 2.6x | 111 | 72% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=27, mult=2.6 |
2.2% | -43.8% | 0.22 | 0.05 | 1.6x | 96 | 29% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.6% | -55.7% | 0.13 | 0.01 | 1.1x | 186 | 54% |
| MACD fast=17, slow=49, signal=18 |
0.4% | -69.1% | 0.12 | 0.01 | 1.1x | 240 | 52% |
| Buy and hold | 9.9% | -75.8% | 0.46 | 0.13 | 7.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 321-day EMA
- Sell — Sell when the 57-day EMA falls below the 321-day EMA