Trend-Following Backtester · Guide · backtest 한국어
equity · FR
SPIE SA backtest
10 trend-following strategies were compared on the full daily history of SPIE SA. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.7%, MDD -21.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.4%, drawdown -69.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.7%, MDD -21.2%, Sharpe 0.65, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 11.7%, MDD -21.2%, exposure 59%).
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=41, slow=127 |
11.7% | -21.2% | 0.65 | 0.55 | 3.5x | 22 | 59% |
| ROC 모멘텀 n=118, threshold=-0.07 |
9.7% | -28.2% | 0.53 | 0.34 | 2.8x | 57 | 73% |
| EMA 크로스오버 fast=41, slow=86 |
8.0% | -31.9% | 0.47 | 0.25 | 2.4x | 24 | 63% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=25, mult=3.9 |
3.1% | -17.0% | 0.37 | 0.18 | 1.4x | 14 | 12% |
| Supertrend period=13, mult=5 |
4.9% | -37.1% | 0.33 | 0.13 | 1.7x | 32 | 62% |
| ADX / DI 방향성 period=31, threshold=18 |
3.2% | -30.4% | 0.33 | 0.11 | 1.4x | 48 | 18% |
| Donchian 채널 돌파 entryN=91, exitN=74 |
4.3% | -30.9% | 0.31 | 0.14 | 1.6x | 16 | 55% |
| 볼린저 밴드 돌파 n=51, k=1.9 |
2.9% | -43.7% | 0.26 | 0.07 | 1.4x | 48 | 36% |
| Parabolic SAR step=0.025, maxStep=0.14 |
0.8% | -56.5% | 0.14 | 0.01 | 1.1x | 254 | 55% |
| MACD fast=15, slow=31, signal=11 |
-4.9% | -71.3% | -0.14 | -0.07 | 0.6x | 192 | 51% |
| Buy and hold | 8.4% | -69.9% | 0.42 | 0.12 | 2.5x | 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 41-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 41-day average falls below the 127-day average