Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Cie Generale des Etablissements Michelin SA backtest
10 trend-following strategies were compared on the full daily history of Cie Generale des Etablissements Michelin SA. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.1%, MDD -40.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.0%, drawdown -78.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.1%, MDD -40.9%, Sharpe 0.38, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 6.1%, MDD -40.9%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=62, exitN=77 |
6.1% | -40.9% | 0.38 | 0.15 | 4.8x | 39 | 64% |
| EMA 크로스오버 fast=12, slow=181 |
3.5% | -40.2% | 0.27 | 0.09 | 2.5x | 69 | 61% |
| Supertrend period=45, mult=4.2 |
3.0% | -43.9% | 0.24 | 0.07 | 2.2x | 105 | 57% |
| SMA 크로스오버 fast=7, slow=175 |
3.0% | -42.7% | 0.24 | 0.07 | 2.2x | 93 | 60% |
| ROC 모멘텀 n=115, threshold=-0.03 |
2.9% | -47.2% | 0.24 | 0.06 | 2.1x | 215 | 65% |
| 볼린저 밴드 돌파 n=48, k=1.1 |
2.3% | -49.3% | 0.22 | 0.05 | 1.8x | 177 | 44% |
| ADX / DI 방향성 period=33, threshold=28 |
0.7% | -10.0% | 0.21 | 0.07 | 1.2x | 6 | 2% |
| MACD fast=24, slow=44, signal=22 |
-0.9% | -62.9% | 0.06 | -0.01 | 0.8x | 264 | 51% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=25, mult=3.5 |
-0.3% | -46.1% | 0.04 | -0.01 | 0.9x | 79 | 24% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.7% | -86.6% | -0.12 | -0.05 | 0.3x | 252 | 53% |
| Buy and hold | 5.0% | -78.2% | 0.31 | 0.06 | 3.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 62 days
- Sell — Sell when price breaks below the lowest low of the last 77 days