Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Inventiva SA backtest
10 trend-following strategies were compared on the full daily history of Inventiva SA. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.6%, MDD -19.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.6%, drawdown -90.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.5%, MDD -61.7%, Sharpe 0.42, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.1%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 2.6%, MDD -19.5%, exposure 0%).
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=32, slow=146 |
17.5% | -61.7% | 0.42 | 0.28 | 4.7x | 16 | 45% |
| ROC 모멘텀 n=125, threshold=0.1 |
12.4% | -60.2% | 0.36 | 0.21 | 3.1x | 72 | 36% |
| EMA 크로스오버 fast=48, slow=132 |
10.9% | -56.9% | 0.34 | 0.19 | 2.7x | 10 | 41% |
| Supertrend period=27, mult=2.8 |
8.1% | -69.8% | 0.34 | 0.12 | 2.1x | 77 | 39% |
| Donchian 채널 돌파 entryN=23, exitN=54 |
5.2% | -72.6% | 0.32 | 0.07 | 1.6x | 25 | 61% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.9% | -69.2% | 0.30 | 0.04 | 1.3x | 57 | 52% |
| 볼린저 밴드 돌파 n=23, k=1.9 |
1.8% | -61.7% | 0.26 | 0.03 | 1.2x | 62 | 25% |
| ADX / DI 방향성 period=37, threshold=34 |
2.6% | -19.5% | 0.23 | 0.13 | 1.3x | 2 | 0% |
| MACD fast=18, slow=44, signal=18 |
-1.0% | -80.5% | 0.23 | -0.01 | 0.9x | 91 | 49% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=1.3 |
-11.2% | -86.1% | -0.07 | -0.13 | 0.3x | 63 | 36% |
| Buy and hold | -7.6% | -90.7% | 0.24 | -0.08 | 0.5x | 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 32-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 32-day average falls below the 146-day average