Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Sanofi SA backtest
10 trend-following strategies were compared on the full daily history of Sanofi SA. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.0%, MDD -38.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 2.3%, drawdown -55.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -7.1%, Sharpe 0.23, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 2.1%, MDD -59.5%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 48.7%p (CAGR 2.0%, MDD -38.1%, exposure 52%).
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=22, k=3.5 |
0.5% | -7.1% | 0.23 | 0.07 | 1.1x | 8 | 2% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.09 |
2.1% | -59.5% | 0.21 | 0.04 | 1.7x | 9 | 100% |
| SMA 크로스오버 fast=56, slow=210 |
2.0% | -38.1% | 0.20 | 0.05 | 1.7x | 32 | 52% |
| EMA 크로스오버 fast=98, slow=114 |
1.1% | -49.5% | 0.15 | 0.02 | 1.3x | 42 | 55% |
| Donchian 채널 돌파 entryN=53, exitN=97 |
-1.8% | -65.1% | 0.00 | -0.03 | 0.6x | 47 | 63% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=20, mult=3.6 |
-0.1% | -20.1% | -0.03 | -0.01 | 1.0x | 14 | 3% |
| ADX / DI 방향성 period=38, threshold=22 |
-0.6% | -23.8% | -0.10 | -0.03 | 0.9x | 16 | 3% |
| Supertrend period=16, mult=4.7 |
-5.0% | -88.1% | -0.17 | -0.06 | 0.3x | 92 | 52% |
| MACD fast=19, slow=35, signal=15 |
-9.5% | -94.3% | -0.48 | -0.10 | 0.1x | 373 | 52% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-13.4% | -97.9% | -0.68 | -0.14 | 0.0x | 520 | 54% |
| Buy and hold | 2.3% | -55.8% | 0.22 | 0.04 | 1.9x | 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 22-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 22-day middle average