Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Mercialys SA backtest
10 trend-following strategies were compared on the full daily history of Mercialys SA. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.0%, MDD -6.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -2.7%, drawdown -88.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.5%, MDD -26.1%, Sharpe 0.31, 11% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 62.4%p (CAGR 1.0%, MDD -6.5%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=21, k=2.9 |
2.5% | -26.1% | 0.31 | 0.09 | 1.7x | 46 | 11% |
| ROC 모멘텀 n=9, threshold=0.23 |
1.0% | -6.5% | 0.30 | 0.16 | 1.2x | 6 | 0% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=20, mult=3.3 |
1.2% | -24.5% | 0.21 | 0.05 | 1.3x | 14 | 3% |
| ADX / DI 방향성 period=29, threshold=25 |
1.4% | -26.1% | 0.21 | 0.06 | 1.3x | 24 | 6% |
| Donchian 채널 돌파 entryN=88, exitN=30 |
0.9% | -37.9% | 0.13 | 0.02 | 1.2x | 42 | 27% |
| MACD fast=31, slow=36, signal=40 |
-2.0% | -76.4% | -0.01 | -0.03 | 0.7x | 151 | 51% |
| SMA 크로스오버 fast=38, slow=131 |
-3.5% | -74.8% | -0.08 | -0.05 | 0.5x | 53 | 46% |
| EMA 크로스오버 fast=46, slow=184 |
-2.9% | -66.1% | -0.09 | -0.04 | 0.5x | 39 | 43% |
| Supertrend period=29, mult=3.2 |
-3.4% | -80.1% | -0.09 | -0.04 | 0.5x | 153 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-8.3% | -89.8% | -0.36 | -0.09 | 0.2x | 385 | 51% |
| Buy and hold | -2.7% | -88.5% | 0.06 | -0.03 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 21-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 21-day middle average