Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Interparfums backtest
10 trend-following strategies were compared on the full daily history of Interparfums. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.4%, MDD -48.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.7%, drawdown -65.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -48.0%, Sharpe 0.45, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 17.8%p (CAGR 7.4%, MDD -48.0%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=66, slow=235 |
7.4% | -48.0% | 0.45 | 0.15 | 6.7x | 24 | 54% |
| ROC 모멘텀 n=203, threshold=0.02 |
6.8% | -49.2% | 0.43 | 0.14 | 5.8x | 120 | 55% |
| Donchian 채널 돌파 entryN=115, exitN=63 |
5.4% | -47.0% | 0.39 | 0.12 | 4.1x | 34 | 43% |
| EMA 크로스오버 fast=45, slow=227 |
5.7% | -41.4% | 0.37 | 0.14 | 4.3x | 30 | 55% |
| 볼린저 밴드 돌파 n=57, k=1.2 |
4.1% | -37.7% | 0.31 | 0.11 | 2.9x | 142 | 43% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=9, mult=3.1 |
3.4% | -30.0% | 0.31 | 0.11 | 2.4x | 90 | 27% |
| Parabolic SAR step=0.005, maxStep=0.14 |
3.1% | -48.4% | 0.25 | 0.06 | 2.3x | 206 | 55% |
| Supertrend period=11, mult=4.1 |
1.7% | -69.3% | 0.18 | 0.02 | 1.5x | 142 | 55% |
| MACD fast=39, slow=49, signal=31 |
0.9% | -59.5% | 0.14 | 0.01 | 1.3x | 176 | 50% |
| ADX / DI 방향성 period=23, threshold=26 |
0.5% | -40.3% | 0.10 | 0.01 | 1.1x | 76 | 12% |
| Buy and hold | 6.7% | -65.8% | 0.36 | 0.10 | 5.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 66-day average price crosses above the 235-day average
- Sell — Sell (to cash) when the 66-day average falls below the 235-day average