Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Publicis Groupe SA backtest
10 trend-following strategies were compared on the full daily history of Publicis Groupe SA. 3 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 7.9%, MDD -33.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.4%, drawdown -72.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -33.4%, Sharpe 0.55, 44% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 7.9%, MDD -33.4%, exposure 44%).
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=96, exitN=67 |
7.9% | -33.4% | 0.55 | 0.24 | 7.2x | 29 | 44% |
| SMA 크로스오버 fast=56, slow=164 |
6.2% | -42.1% | 0.42 | 0.15 | 4.7x | 41 | 52% |
| EMA 크로스오버 fast=39, slow=164 |
5.9% | -40.9% | 0.41 | 0.14 | 4.4x | 47 | 54% |
| ADX / DI 방향성 period=34, threshold=28 |
1.5% | -9.6% | 0.36 | 0.15 | 1.5x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=17, mult=2.9 |
1.5% | -17.5% | 0.33 | 0.08 | 1.5x | 18 | 4% |
| ROC 모멘텀 n=102, threshold=0.03 |
2.5% | -52.7% | 0.23 | 0.05 | 1.9x | 243 | 47% |
| Supertrend period=17, mult=4.9 |
2.4% | -67.1% | 0.22 | 0.04 | 1.8x | 85 | 58% |
| 볼린저 밴드 돌파 n=44, k=3.1 |
1.1% | -22.7% | 0.19 | 0.05 | 1.3x | 26 | 9% |
| MACD fast=17, slow=43, signal=29 |
-1.7% | -74.5% | 0.02 | -0.02 | 0.6x | 263 | 50% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-4.0% | -85.2% | -0.09 | -0.05 | 0.3x | 375 | 53% |
| Buy and hold | 3.4% | -72.1% | 0.26 | 0.05 | 2.4x | 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 96 days
- Sell — Sell when price breaks below the lowest low of the last 67 days