Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Sopra Steria Group SA backtest
10 trend-following strategies were compared on the full daily history of Sopra Steria Group SA. 8 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 8.6%, MDD -36.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.4%, drawdown -93.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -36.3%, Sharpe 0.55, 37% exposure.
CAGR reference leader: Supertrend — CAGR 11.4%, MDD -60.7%, exposure 61%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 57.6%p (CAGR 8.6%, MDD -36.3%, exposure 37%).
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=62, exitN=22 |
8.6% | -36.3% | 0.55 | 0.24 | 9.1x | 81 | 37% |
| Supertrend period=26, mult=3.2 |
11.4% | -60.7% | 0.55 | 0.19 | 17.5x | 177 | 61% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
6.9% | -38.7% | 0.46 | 0.18 | 5.9x | 107 | 39% |
| SMA 크로스오버 fast=13, slow=36 |
8.2% | -58.8% | 0.44 | 0.14 | 8.2x | 203 | 56% |
| EMA 크로스오버 fast=58, slow=172 |
7.3% | -56.2% | 0.43 | 0.13 | 6.5x | 29 | 56% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=3 |
4.8% | -40.7% | 0.35 | 0.12 | 3.4x | 101 | 37% |
| MACD fast=15, slow=63, signal=12 |
5.2% | -57.2% | 0.32 | 0.09 | 3.8x | 331 | 52% |
| ROC 모멘텀 n=92, threshold=0.14 |
3.4% | -47.7% | 0.28 | 0.07 | 2.4x | 243 | 30% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.9% | -66.0% | 0.27 | 0.06 | 2.8x | 431 | 55% |
| ADX / DI 방향성 period=32, threshold=25 |
1.5% | -26.4% | 0.21 | 0.06 | 1.5x | 50 | 8% |
| Buy and hold | 3.4% | -93.9% | 0.28 | 0.04 | 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 62 days
- Sell — Sell when price breaks below the lowest low of the last 22 days