Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Renault SA backtest
10 trend-following strategies were compared on the full daily history of Renault SA. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -7.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.2%, drawdown -91.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.5%, MDD -64.2%, Sharpe 0.26, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 0.0%, MDD -7.6%, 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=71, slow=100 |
3.5% | -64.2% | 0.26 | 0.05 | 2.5x | 76 | 53% |
| Donchian 채널 돌파 entryN=16, exitN=73 |
2.5% | -73.1% | 0.24 | 0.03 | 1.9x | 79 | 78% |
| ROC 모멘텀 n=113, threshold=-0.06 |
2.3% | -69.7% | 0.22 | 0.03 | 1.8x | 192 | 63% |
| Supertrend period=34, mult=3.8 |
0.0% | -67.5% | 0.13 | 0.00 | 1.0x | 134 | 51% |
| EMA 크로스오버 fast=8, slow=170 |
-0.9% | -60.8% | 0.08 | -0.01 | 0.8x | 88 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=3.7 |
0.0% | -50.2% | 0.07 | 0.00 | 1.0x | 62 | 20% |
| 볼린저 밴드 돌파 n=33, k=3.2 |
0.2% | -35.7% | 0.06 | 0.01 | 1.1x | 20 | 5% |
| ADX / DI 방향성 period=24, threshold=37 |
0.0% | -7.6% | 0.02 | 0.00 | 1.0x | 2 | 0% |
| MACD fast=7, slow=18, signal=10 |
-3.8% | -82.2% | 0.00 | -0.05 | 0.4x | 653 | 51% |
| Parabolic SAR step=0.035, maxStep=0.08 |
-6.6% | -87.2% | -0.12 | -0.08 | 0.2x | 565 | 51% |
| Buy and hold | -2.2% | -91.3% | 0.15 | -0.02 | 0.6x | 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 71-day average price crosses above the 100-day average
- Sell — Sell (to cash) when the 71-day average falls below the 100-day average