Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Pernod Ricard SA backtest
10 trend-following strategies were compared on the full daily history of Pernod Ricard SA. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.7%, MDD -31.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.5%, drawdown -72.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -31.2%, Sharpe 0.46, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 6.7%, MDD -31.2%, exposure 61%).
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=40, slow=178 |
6.7% | -31.2% | 0.46 | 0.21 | 5.6x | 36 | 61% |
| EMA 크로스오버 fast=49, slow=214 |
5.6% | -36.3% | 0.39 | 0.15 | 4.2x | 26 | 66% |
| Donchian 채널 돌파 entryN=116, exitN=97 |
4.8% | -36.2% | 0.38 | 0.13 | 3.5x | 22 | 54% |
| ROC 모멘텀 n=154, threshold=-0.01 |
3.2% | -45.6% | 0.26 | 0.07 | 2.3x | 176 | 66% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
0.6% | -16.2% | 0.13 | 0.04 | 1.2x | 16 | 8% |
| ADX / DI 방향성 period=23, threshold=34 |
0.0% | -8.7% | 0.02 | 0.00 | 1.0x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=4 |
-1.1% | -33.7% | -0.07 | -0.03 | 0.7x | 50 | 19% |
| MACD fast=27, slow=41, signal=34 |
-3.8% | -85.4% | -0.13 | -0.04 | 0.4x | 225 | 49% |
| Supertrend period=9, mult=3.8 |
-3.8% | -75.2% | -0.13 | -0.05 | 0.4x | 133 | 56% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-9.7% | -93.5% | -0.46 | -0.10 | 0.1x | 507 | 52% |
| Buy and hold | 4.5% | -72.4% | 0.30 | 0.06 | 3.2x | 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 40-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 40-day average falls below the 178-day average