Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Compagnie de Saint-Gobain SA backtest
10 trend-following strategies were compared on the full daily history of Compagnie de Saint-Gobain SA. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.7%, MDD -46.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.0%, drawdown -79.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.2%, MDD -52.7%, Sharpe 0.35, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 4.7%, MDD -46.0%, exposure 58%).
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=21, slow=202 |
5.2% | -52.7% | 0.35 | 0.10 | 3.9x | 40 | 60% |
| EMA 크로스오버 fast=39, slow=85 |
4.7% | -46.0% | 0.32 | 0.10 | 3.4x | 56 | 58% |
| Donchian 채널 돌파 entryN=103, exitN=104 |
3.8% | -46.1% | 0.29 | 0.08 | 2.7x | 30 | 53% |
| 볼린저 밴드 돌파 n=42, k=3.4 |
0.6% | -10.5% | 0.17 | 0.06 | 1.2x | 8 | 3% |
| ROC 모멘텀 n=152, threshold=0.05 |
1.4% | -46.8% | 0.17 | 0.03 | 1.4x | 234 | 50% |
| Supertrend period=28, mult=4.9 |
-0.0% | -69.0% | 0.11 | -0.00 | 1.0x | 79 | 58% |
| ADX / DI 방향성 period=39, threshold=15 |
0.5% | -35.0% | 0.10 | 0.01 | 1.1x | 78 | 17% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=27, mult=2.9 |
-0.4% | -62.2% | 0.04 | -0.01 | 0.9x | 90 | 30% |
| MACD fast=28, slow=36, signal=37 |
-3.4% | -73.2% | -0.04 | -0.05 | 0.4x | 222 | 50% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-4.5% | -76.6% | -0.09 | -0.06 | 0.3x | 374 | 57% |
| Buy and hold | 2.0% | -79.4% | 0.23 | 0.02 | 1.7x | 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 21-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 21-day average falls below the 202-day average