Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Stellantis N.V. backtest
10 trend-following strategies were compared on the full daily history of Stellantis N.V.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -7.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR -5.8%, drawdown -86.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.5%, MDD -56.5%, Sharpe 0.38, 33% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.3%p higher than buy and hold, while drawdown improves by 30.3%p (CAGR 0.5%, MDD -7.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=57, slow=196 |
6.5% | -56.5% | 0.38 | 0.11 | 4.8x | 14 | 33% |
| SMA 크로스오버 fast=69, slow=215 |
4.4% | -70.5% | 0.31 | 0.06 | 2.9x | 20 | 34% |
| ADX / DI 방향성 period=36, threshold=42 |
0.5% | -7.9% | 0.22 | 0.07 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
0.8% | -21.6% | 0.18 | 0.04 | 1.2x | 4 | 2% |
| Donchian 채널 돌파 entryN=148, exitN=43 |
-0.5% | -67.4% | 0.13 | -0.01 | 0.9x | 26 | 45% |
| ROC 모멘텀 n=149, threshold=-0.04 |
-7.9% | -96.7% | -0.03 | -0.08 | 0.1x | 188 | 62% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=18, mult=2.3 |
-6.1% | -88.6% | -0.05 | -0.07 | 0.2x | 94 | 32% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-13.3% | -98.2% | -0.11 | -0.13 | 0.0x | 159 | 60% |
| Supertrend period=25, mult=5 |
-17.7% | -99.2% | -0.18 | -0.18 | 0.0x | 102 | 34% |
| MACD fast=24, slow=45, signal=31 |
-19.9% | -99.8% | -0.19 | -0.20 | 0.0x | 171 | 65% |
| Buy and hold | -5.8% | -86.8% | 0.24 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 196-day EMA
- Sell — Sell when the 57-day EMA falls below the 196-day EMA